The embassy said the man had US diplomatic status and therefore was immune from prosecution.
"The diplomat acted in self-defence when confronted by two armed men on motorcycles" on 27 January, it added.
The man - identified in Pakistan as Raymond Davis - was charged with the murder of the two men on Friday.
He told the court in Lahore that he had fired his gun in self-defence.
Another person was run over and killed by a vehicle carrying Mr Davis' colleagues as they came to his aid, police and witnesses have said.
Magistrates have remanded Mr Davis in custody until next week, while police investigate the shooting.
Police 'failure' "The United States Embassy in Pakistan calls for the immediate release of a US diplomat unlawfully detained by authorities in Lahore," the embassy said in a statement on Saturday.
"The diplomat, assigned to the US Embassy in Islamabad, has a US diplomatic passport and Pakistani visa valid until June 2012.
"When detained, the US diplomat identified himself to police as a diplomat and repeatedly requested immunity under the Vienna Convention on Diplomatic Relations. Local police and senior authorities failed to observe their legal obligation to verify his status.
The embassy added that it regretted "that this incident resulted in loss of life".
It did not name the man, who had been previously described as a consular employee in Lahore.
Lahore police chief Aslam Tareen told the BBC Mr Davis was employed on "security duties" in the consulate.
He did not have diplomatic immunity and was not one of the foreign security personnel allowed to carry firearms, according to the Pakistani authorities.
Mr Tareen said a Glock pistol had been recovered from Mr Davis and that pistols had also been found on the two men shot dead.
Mr Davis is said to have told police that the motorcycle rider and his pillion passenger had been trying to hijack his vehicle at gunpoint.
Police said he told officers that he had withdrawn money from a cash machine shortly before the incident.
Pakistani investigators have said the two men were probably robbers, although relatives dispute this.
More than 100 people held a protest rally in Lahore in the aftermath of Thursday's incident, setting tyres ablaze.
The incident could inflame anti-American sentiment in Pakistan, the BBC's Syed Shoaib Hasan in Karachi says.
Many Pakistanis resent the US because of regular air strikes carried out by its drone aircraft in north-west Pakistan, and because of America's role in neighbouring Afghanistan, our correspondent adds.