Laguna Beach police tell the Los Angeles Times (http://lat.ms/YQATM5 ) that the attack happened near an exclusive resort Saturday.
In the video obtained by the Times and KABC-TV, Kelly's screaming daughter tries to pull her dog from the sea lion as two other women help.
Kelly finally steps in and wrests the animal free. It later died.
A spokeswoman for Kelly's political committee says the family crated the dog and then talked to officers. Police say the dog broke from its leash, and no laws were broken.
Kelly and Giffords recently started a gun control advocacy group. The former Arizona congresswoman was shot in 2011.