Sahay, 57, was rushed to Bombay Hospital after being found with serious burn injuries at his south Mumbai residence on September 14.
Earlier, it was suspected to be a suicide, but police waited for Sahay to make a statement on what caused the tragedy.
With over 60 percent burns, his condition had worsened during the past few weeks as kidney functions became severely hampered and posed a threat to other organs.
The end came around 8.20 a.m. at Bombay Hospital where he was undergoing treatment.
Sahay shot into the limelight when he recently submitted an inquiry report detailing alleged irregularities in the Maharashtra State Road Transport Corporation (MSRTC) during the tenure of its former chief, Deepak Kapoor, an Indian Administrative Service (IAS) officer of 1991 batch.
The internal inquiry was conducted by Sahay in his capacity as the Chief Vigilance Officer of the MSRTC before he was promoted and transferred as Additional DGP nearly three months ago.
Kapoor was earlier the high-profile private secretary to Praful Patel when the politician from the Nationalist Congress Party was civil aviation minister at the central government.
Following Sahay's report, the State Anti-Corruption Bureau is believed to have sought the state government's permission to initiate an investigation against Kapoor.