23 July 2011 Last updated at 08:23 ET
The exact circumstances of his death are disputed.
Col Gai was shot in the early hours of Saturday morning despite having apparently been reconciled with the South Sudanese army.
South Sudan became independent earlier this month, but is facing at least half a dozen armed rebellions.
The incident happened at or near the district of Pakur in Unity State.
Colonel Gai began his rebellion following elections last year, after the candidate he supported for state governor was controversially declared to be the loser.
This week Col Gai signed a peace agreement with the South Sudan army and was due to be reintegrated into it.