(SPOILER FOR THOSE WHO HAVEN'T KEPT UP! DONT READ BELOW)
Kellerman being dead is only an assumption.. We don't know what happened. We can assume he died, but the masked men could have shot the officers taking him to prison instead. He says "what took so long?" (something along those lines) which could mean "I knew you guys would come after me for testifying.. I accept my fate" OR "what took you so long to save me? jeez".
Who could have wanted to save him? I have some ideas, but I don't know really. We'll wait and see. Maybe he's dead.