Police closed off the area around the condominium where the bodies were found today.
They took a few people to police headquarters for questioning, but right now, they have no suspects.
Don Aaron, Nashville Police spokesman said, "At this point, we don't know the circumstances of these shootings. The investigation is going to be conducted by the department's centralized homicide unit."
McNair played 13 seasons in the NFL and led the Tennessee titans within a yard of forcing overtime in the 2000 Super Bowl.
He retired before last season.
Police say the 36-year-old died of a gunshot wound to the head. They have not officially identified the woman who was also shot to death, although they are saying she was *not* his wife.