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The affiliate, 9News, said the security guard was contracted through a firm called Pinkerton.
"It has been the practice of 9NEWS for a number of months to contract private security to accompany staff at protests," the broadcaster reported.
Pinkerton and 9News didn't respond to requests for comment.
The shooting took place around 3:30 p.m. in the courtyard of the Denver Art Museum. It left one man dead.
Competing rallies had been held, one by a conservative group and one by a group of Black Lives Matter and Antifa members.
The victim was reportedly part of the conservative group.
Denver police officials said late Saturday that they weren't sure who the victim and shooter were affiliated with. In a statement, police said the shooter was not affiliated with Antifa, a far-left, anarcho-communist network.
Photographs captured by a photographer on the scene showed a burly man wearing a hat, a sleeveless black shirt, and jeans, in an altercation with the private security guard.
The exact timeline of what happened is unclear but the pictures showed the burly man deploying a chemical from a can at the guard as the guard pointed a gun at the man.
Moments later, the burly man was on the ground, shot, while police in riot gear sprinted over and arrested the shooter.
Police have not identified the shooter by name. Information as of Sunday morning indicates who the shooter is, but The Epoch Times is refraining from publishing a name for now because of the lack of official confirmation.
A canister of mace was recovered on the scene, as was the shooter's gun.
Police officers were interviewing witnesses and reviewing video footage, officials said. The district attorney will determine whether the shooting was in self-defense, Denver Police Investigations Division Chief Joe Montoya told reporters.
One video showing the minute before the shooting showed a man wearing a "Black Guns Matter" t-shirt shouting at a group of men who appeared to be with the conservative group, including the man who was eventually shot.
The man with the "Black Guns Matter" shirt is enraged, shouting at the group. He tells one to mace him.
The shooting victim moves out of the view of the camera. Moments later, a gunshot is heard.
In a statement late Saturday, Denver Mayor Michael Hancock, a Democrat, said he wouldn't share details on the investigation.
"Our thoughts are with the family of the victim of the shooting that took place today," he said.
"I am not going to comment on the details as it is still under investigation, and its connection or not to either demonstration hasn’t been determined."
Hancock said police tried to do their best to keep people safe and encouraged people not to gather in large groups because of the COVID-19 pandemic.