At a news conference outside the West Side residence where the victims lived, Walker said police should use stun guns or other nonlethal methods instead.
Why must police "shoot first and ask questions later?" Walker asked. "It's ridiculous."
The Chicago Police Department is also under a federal civil rights investigation that will look into patterns of racial disparity in the use of force, and how the department disciplines officers and handles misconduct accusations.
Family members and others at the news conference wore black T-shirts critical of Mayor Rahm Emanuel.
LeGrier's mother, Janet Cooksey, told reporters that the police "are supposed to serve us and protect us, and yet they take the lives."
"Something just needs to be done," she added. "I used to watch the news daily and I would grieve for other mothers, other family members, and now today I'm grieving myself."
The Chicago Police Department said in a statement Saturday that officers who responded to a 911 call "were confronted by a combative subject resulting in the discharging of the officer's weapon. The 55-year-old female victim was accidentally struck and tragically killed," and the department extended its "deepest condolences to the victim's family and friends."
Jones, a mother of five who had hosted family for Christmas, and LeGrier, a college student home for holiday break, were pronounced dead at hospitals, according to relatives and the Cook County medical examiner's office.
Police did not disclose the race of the officer, saying only that those involved will be placed on administrative duties for 30 days while "training and fitness for duty requirements can be conducted." It isn't clear how many officers responded, how many used their firearms, and how many times both LeGrier and Jones were struck.
Police spokesman Anthony Guglielmi said the officers' role in the shootings is being investigated by the city's Independent Police Review Authority (IPRA), the main police oversight agency. He also said police can't comment.
IPRA spokesman Larry Merritt also declined comment.
LeGrier's father, Antonio, told the Chicago Sun-Times he had invited his son to a family holiday gathering before the shootings but the younger man chose not to go. When the father returned to his second-floor apartment early Saturday, the son appeared to be a "little agitated," he said.
The elder LeGrier said he heard loud banging on his locked bedroom door around 4:15 a.m. and that his son said, "You're not going to scare me." He said his son tried to bust the door open, but he kept him from doing so and called police. The father told the newspaper that he called Jones, who lived a floor below, and warned her that his son was a "little irate" and not to open the door unless police arrived. He said Jones told him she saw his son outside with a baseball bat.
When police arrived, Antonio LeGrier said he heard Jones yell, "Whoa, whoa, whoa!" He said he heard gunshots as he made his way down from the second floor and saw his son and Jones lying in the foyer.