A member of the Australian Federal Police who was shot at police headquarters has died in hospital.

The female officer was taken to the Royal Melbourne Hospital from the AFP office in La Trobe Street about 5.45pm on Monday night in a critical condition and died a short time later.

"It is with great sadness I can confirm one of our police officers has died in Melbourne as a result of a gunshot wound," AFP Commissioner Andrew Colvin said in the statement on Tuesday morning.

He said the incident would be investigated by Victoria Police and that a report would be prepared for the Coroner.