Esmond Bradley Martin, 75, was found with a stab wound to his neck at home in the capital Nairobi on Sunday.
The former UN special envoy for rhino conservation was known for his undercover work establishing black-market prices.
The US citizen had recently returned from a research trip to Myanmar.
Bradley Martin was in the process of writing up his findings when he died, reports the BBC's Alastair Leithead from Nairobi.
His wife found him in their house in Langata. Police are investigating the circumstances but suspect it was a botched robbery.
Our correspondent says Bradley Martin had spent decades risking his life to secretly photograph and document the illegal sales of ivory and rhino horn, travelling to China, Vietnam, and Laos to pose as a buyer - helping to find out the level of black market prices.
He first went to Kenya from the US in the 1970s when there was a surge in the number of elephants being killed for their ivory.
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