Police said Elvis Pista was shot four times as he left a restaurant in the southern town of Rahovec early on June 15.
Police believe the assassin shot Pista from behind, using a handgun with a silencer.
Kosovo authorities have not yet certified the results of the June 8 elections, so it is unclear if Pista had won a seat.
But preliminary results showed the flamboyant politician -- who is recognizable by his spiked hair -- was leading in his race.
Thaci said authorities are doing everything possible to find Pista's killer.
Thaci's party won the most seats in the elections but he lacks a coalition partner needed to form a government.