Rao came to Boston in September to study for a master's in mathematical finance, according to his LinkedIn page.
Police have stepped up patrols in the area following his death, for which no arrests have yet been made.
The Hindustan Times talked to his father, who said he had no known enemies.
Condemning the incident, Odisha chief minister said: "I am deeply shocked by the brutal and savage killing of the young man studying in Boston. This is absolutely barbaric and horrible."