"The state must respond to these circumstances", said Sinaloa prosecutor Juan Jose Rios at a rowdy news conference.
He is the fifth journalist to be killed in Mexico this year.
Epigmenio Ibarra, producer of telenovelas like "El Señor de los Cielos" and "El Chema", is an activists that sides on the left.
Valdez's brother Rafael said the reporter had been "very happy" in recent days and had not indicated that he had received threats.
Valdez, who wrote a book about the dangers of covering drug cartels and the dirty politicians associated with them, knew the risks of his profession all too well. No one was hurt.
Journalists targeted in Mexico are most often local reporters in places where the rule of law is tenuous, but there have also been killings of journalists with national profiles such as Valdez and Regina Martinez Perez, who was slain in 2012.
The killing comes just a day after 100 armed assailants suspected of being associated with the Michoacana Family cartel attacked and robbed seven national and global journalists covering a security operation in the state of Guerrero, on the highway leading to Iguala, the town made famous by the disappearance of 43 students from the Ayotzinapa teacher training college in 2014. "It's also home to the Sinaloa cartel, which until recently was headed by Joaquin "Chapo" Guzman" - the infamous drug lord who, after a high-profile escape and recapture, has been extradited to the US and is awaiting trial. Experts say Guzman's arrest a year ago and extradition in January have led to upheaval in the area as rival factions war for control of the gang.
"Being a journalist is like being on a black list", Valdez said at a launch of his last book about drug gangs. "You have to assume the task that falls to you as a journalist either that or you play dumb".
"His door was always open".
In 2011, CPJ recognized Valdez with its International Press Freedom Award for his "bravery and uncompromising journalism in the face of threats", the group said in a statement.
Valdez's murder came less than two weeks after a CPJ delegation met in Mexico City with Pena Nieto and other top government officials, and about a month after the killing of veteran reporter Maximino Rodriguez Palacios in La Paz on the Baja California peninsula.
Mexican and foreign journalists paid homage to Valdez on social media, describing him as a courageous writer and generous friend whose killers must be brought to justice to deter future slayings. Ricardo Sanchez Perez del Pozo, a lawyer with a background in global law and human rights, took over the post.