Despite being a dick in Secret Empire, Cap’n ‘merica has long been seen as a bastion of hope, freedom and the American way. Or, to appeal to more audiences than just those who need a gun to feel like they haven’t got cashew nuts for balls, he manifested all that’s good in humanity. Therefore seeing him gunned down by his lady love was just...Just sad.
The story occurs after the events of 'Civil War', which ended when Cap'n 'merica surrendered (or, as he himself points out, 'Steve Rodgers' surrendered) to the Superhero Registration Act. While being transferred to court, Crossbones takes a shot at Rodgers with a sniper rifle, which clipped his shoulder. However, this turned out to be nothing more than a distraction.
Amidst the confusion, while everyone was scrambling to find the sniper, it's actually Sharon Carter that finished him off. Carter was brainwashed by Doctor Faustus to shoot several rounds into Rodgers' torso whilst escorting him. She was enlisted to do so as she was both a S.H.I.E.L.D agent and his lover, so using her was a dick move. Brilliant, but still dick-ish.
The mini-series 'Fallen Son' saw reactions to Cap's death from the superhero community, including the likes of Wolverine who straight up denied he'd died until he actually saw the body. He comes back in the weirdest way though, revealing that he was merely paralysed by being shot repeatedly in the gut and that his mind was simply hoping around the space-time continuum. Obviously.
Take that, death.