"We are not able to confirm which is which because they are twin sisters," Cpt. Louie Perea from Arapahoe County Sheriff's Office said.
The sheriff's office says the shooting happened just before 3 p.m. on Monday. Deputies say the female twins are 29-year-old Australian nationals, but have not released their names. Deputies say they have had difficulty reaching the twins' family in Australia.
"We're working with immigration and customs enforcement to see how long they had been in the country," Perea said.
Authorities say the twin who was injured was shot in the head and survived surgery. The woman was listed in serious but stable condition and police say they're hoping to question her. The other twin was pronounced dead at the scene.
"There are a variety of scenarios," as to the details of the shooting, Perea said.
Authorities say they are not currently searching for a suspect.
"It's an ongoing investigation," Perea said.
9NEWS spoke with the Australian Department of Foreign Affairs and Trade and it could only confirm that 29-year-old twins from Victoria were involved in a shooting incident.
"Consular officials from the Australian Consulate General in Los Angeles are liaising closely with local authorities. The department is providing consular assistance to the women's family in Australia," Dana Robertson with the Dept. of Foreign Affairs and Trade wrote in an e-mail.
Perea says one of the victims arrived in the U.S. on Sept. 7 and the other on Aug. 19. One of them was scheduled to leave on Tuesday, a day after the shootings. Both were here on cultural exchange visas.
They were both staying at the La Quinta Inn on Arapahoe Road near Interstate 25 until last Friday. Investigators are not sure what the twins were doing from Friday until Monday.
Investigators reviewed surveillance video of the incident, but say it does not show what happened in the lane where the two women where shooting. Authorities say the twins were dropped off at the shooting range by a taxi cab.
They do not believe there was any kind of fight that led up to the shooting and authorities say the twins fell at the same time.
Deputies say this is a death investigation and not a homicide investigation at this time.
Investigators say the women were using the same lane at the outdoor shooting range and were there for an hour and 20 minutes.
Authorities don't know how many shots were fired because there were other people using the range at the same time.
Doug Hamilton, the owner of the range, says the women were using small caliber guns and they were shot nearly simultaneously.
He believes the women were recreational shooters, and said the shooting was not an accident.
"It was a deliberate shooting," Hamilton said.
When asked why, he said, "From what I know of the things I cannot tell you."
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