She was caught in a shootout that followed an argument between two men. It quickly turned violent when each man pulled out a gun, and what followed was a raw, bloody finish to a weekend of exceptional violence, with dozens of people shot across the city.
On Wednesday night, police said the bullet that killed Gay did not come from suspect Leroy Webster's gun.
It couldn't be linked to a specific weapon, but could have come from a glock, the type of gun used by some officers.
Now, Gay's family is speaking out for the first time.
"Denise was a kind person, she was big in stature, but also had a bigger heart," said Les Gay, the victim's brother.
Two officers were also shot.
They have been released from the hospital.