An Australian Federal Police officer has died in a "non-suspicious" shooting at the department's Melbourne office.

Police and paramedics were called to the La Trobe Street headquarters at 9am today after the man was found by colleagues, an AFP spokesperson said.

AFP Commissioner Andrew Colvin confirmed the death, which is the second one at the building this year, in a statement.

"It is with great sadness I can confirm one of our police officers has died in Melbourne today as a result of a gunshot wound," Commissioner Colvin said.

"My thoughts are with his loved ones and the broader AFP family.

"It is not possible to put into words the grief and acute impact today’s loss will have on all within our close knit AFP family.

"The circumstances around this tragic incident are being investigated by Victoria Police, who will prepare a report for the coroner.

"Our colleague’s death is not believed to be suspicious."