Salvador Cabanas, the top player on Paraguay's World Cup team, was shot in the head before dawn Monday in the bathroom of a bar in a well-off neighborhood in Mexico City.
The 29-year-old striker underwent surgery in which doctors failed to remove a bullet lodged in his skull.
Dr. Ernesto Martinez, who was part of the surgical team, said "we cannot guarantee that his life is out of danger."
He called the player's condition stable.
Mexico City Attorney General Miguel Angel Mancera visited the bar and said from the crime scene robbery did not appear a motive "because nothing was taken."
Cabanas plays for the Mexico City team America. Club president Michel Bauer said Cabanas was conscious when he arrived at the hospital and was speaking as he awaited surgery.
"He was a bit confused and didn't know what had happened and he was asking where they were taking him and why they were taking him there," Bauer told Mexico television Televisa.
Bauer said Cabanas' wife told him the two were preparing to leave the bar when the shooting took place in a bathroom.
His wife said she found her husband on the bathroom floor.
Mancera said four people were being questioned — two security guards, the bar manager and Cabanas' brother-in-law.
He said the brother-in-law volunteered to testify.
Cabanas has played in the Mexico league since 2003 and is the highest-profile player on his national team.
Paraguay will face Italy, New Zealand and Slovakia in the group stage of the World Cup in South Africa in June.
'Deeply sorry for what happened'
Cabanas has 125 goals in 218 games in Mexico and played last weekend in America's 2-0 loss to Morelia.
This month he drew attention from Sunderland manager Steve Bruce, who expressed interest in adding Cabanas to his club in England's Premier League.
"Club America is deeply sorry for what happened to our beloved Salvador Cabanas and shows its total support for his family and loved ones," the Mexican team said in a statement.
Paraguayan Football Association president Juan Angel Napout said a doctor would travel to Mexico to assist Cabanas.
"We are praying for him," Napout said.
Cabanas was honored as South America's soccer player of the year in 2007 by Uruguay's El Pais newspaper, the only time a player in Mexico has won the award.
There is a long history of violence involving Latin American soccer players.
Most prominently, Colombia defender Andres Escobar was shot and killed in his home country days after his own-goal helped the United States defeat the Colombians 2-1 in a major upset at the 1994 World Cup.