Captain Yasser Abdoli, the deputy police chief for intelligence for the town of Khash, was killed during an exchange of fire with the bandits, the police chief for the town announced.
Colonel Habib Razdar told Fars news agency on Sunday that the bandits were still being chased by security forces.
He said more information would be made available later.
Last month, the chief of Iranian Police Criminal Investigation Department for Saravan County, also in Sistan-and-Baluchestan Province, and his wife were shot dead by unknown assailants in an apparent targeted assassination.
On May 11, the chief of a police station in Hormozgan Province, which borders Sistan-and-Baluchestan, was killed while chasing drug smugglers.