Edward Loden was killed in Langata, a suburb of Nairobi, during a robbery on Saturday.
It is understood he had been visiting his son on holiday.
Mr Loden had been a major in command of paratroopers in Londonderry on Bloody Sunday.
Thirteen unarmed civilians died when soldiers opened fire on civil rights marchers.
The Saville Inquiry, published in 2010, found there was no justification for the killing.
A statement released by The Foreign and Commonwealth Office said Edward Loden was born in 1940, and commissioned into the Parachute Regiment in 1959.
It said he served on numerous operations around the world, and was awarded the MC for service in Aden in 1967. He retired from the Army in 1992.
It continued: "Edward, married to Jill, father of Jamie and Will, was a devoted family man and proud grandfather of Oliver, Amelia, Joshua, Harry and Emily.
"Jill and her sons would like to say thank you to all the overwhelming messages of love and support from wider friends and family, and request that the family be given time to come to terms with this brutal tragedy."