Another 12 people were wounded in the attack in the city of Lashkar Gah, capital of Helmand province, according to Deputy Gov Mohammed Jon Rasouli.
No one immediately claimed responsibility for the attack, but the Taliban have a strong presence in Helmand, and declared the start of their annual spring offensive last month.
Abdul Wadood Popal, a member of parliament from Helmand, said the gunmen attacked the government compound as Muslim clerics from the province were meeting to discuss security.
Popal said 11 people were killed in the attack, including the four police, and that two attackers were also shot dead.
Conflicting accounts of death tolls are common in the immediate aftermath of such attacks.
Afghan security forces have been struggling to fend off Taliban attacks since US and NATO forces formally concluded their combat mission at the end of last year.
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