"Five people are still buried under a huge mass of snow," said a rescue official from nearby Albertville.
The rescue workers initially said they had found two people dead and two alive, but later reported four dead.
The police said the two people found alive appeared to have died shortly after being rescued.
The avalanche, some 400 metres wide, was apparently set off by a group of skiers higher up, the ski station said in a statement.
The accident near Tignes, a major resort near the Italian border, occurred at an altitude of 2,100 metres.
Monday's avalanche risk in the area was listed as three on a scale of five.
Before the avalanche, 13 accidents have been recorded in the Alps and Pyrenees so far this winter, claiming a total of three lives.
Last winter there were 45 accidents and 21 fatalities.
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