Police said Julia Martin had arranged for Harvey to meet her at her Chicago apartment Friday so that she could return his engagement ring, but Harvey forced his way in and stabbed her.
Harvey then jumped from the apartment, killing himself.
Martin and Harvey were taken to Northwestern Memorial Hospital.
Martin was pronounced dead at 7:37 p.m.
"Not only did she call me, she texted me while she was going through all this," Derrick Martin told the Chicago Tribune. "She was calling everybody, saying that she wanted help. She called another friend and she was panting over the phone, trying to get her breath. He thought it was a prank and he hung up on her. He feels so bad."
Derrick Martin said he missed a text message from his daughter asking for help because he doesn't check his phone often.
The message said, "Call me ASAP."
Derrick Martin said he had no indication that Harvey was a danger to his daughter, who he said was ambitious and adventurous.
Julia Martin was a graduate of Michigan State and worked as a human resources supervisor at an architecture firm.
"She was strictly into her career, always striving for greatness," he said. "She was never satisfied being stuck in one position, she always tried to get higher and higher and higher."
The death is the latest report of an incident in which a woman died for rejecting a man's advances or ending a relationship.
Tiarah Poyau, a New York college student, was reportedly shot and killed by a man when she asked him not to dance on her at a West Indian Day Parade. Janese Talton Jackson was shot and killed outside of a Pittsburgh bar in January by a man whose sexual advances she turned down.
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