She had the stroke at Hartsfield-Jackson Airport in Atlanta while on her way to her dad's burial service, the station announced.
The Atlanta-Journal Constitution reports that the station says the 62-year-old Davis was planning to fly to Texas for her step-father's funeral before she suffered the stroke.
The veteran anchor worked at Fox5 Atlanta for 26 years and retired in 2013.
A statement on the station's website earlier in the evening stated "family is asking for privacy at this hard time".
Arctic air will be here for the ball drop!
By Wednesday, temperatures will likely reach the upper 20s and lower 30s under a partly sunny sky. On New Year's Day, the sun will return but it will still be cold, and may not get above freezing.
Her colleagues shared messages of love and support for the anchor and her family.
Davis graduated Magna Cum Laude from Clark College and was the mother of one daughter, WGCL said. She wrote on Facebook on Christmas Eve about how hard it is to get through the holidays after losing a loved one saying, "Stay strong, keep praising the Lord".
The station reported that Davis died at the hospital Wednesday surrounded by family.
"I feel whole again, ready to see what life has in store for me next", she said. "She will truly be missed".
Davis was a legend in the field of journalism in Atlanta. She talked about her struggles with alcoholism in 2016 with the newspaper, saying that she attended Alcoholics Anonymous meetings two to three times a week and saw a psychiatrist. 'She will be remembered for that, for having the strength to persevere and overcome'. She helped launch "Good Day Atlanta" as a host in 1992 before going to evenings.