An Australian Federal Police officer has died from a gunshot wound at the agency's Melbourne headquarters.

Police and ambulance responded to the non-suspicious shooting at La Trobe St in Melbourne about 9am on Saturday.

The AFP says there is no threat to the community and the incident continues to be investigated.

An Australian Federal Police officer has died of a gunshot wound at the agency's Melbourne headquarters. Photo: AAP

Federal opposition leader Bill Shorten says he has spoken with the AFP and passed on his sympathies to the family.

"Anyone, anywhere, who's mentally unwell and doing it hard or you know someone who is, please go and get help," he told reporters at a press conference in Melbourne.

The incident comes nine months after a female AFP officer died in a non-suspicious shooting inside the same building.

Readers seeking support and information about suicide prevention can contact Lifeline on 13 11 14.

Suicide Call Back Service 1300 659 467.

Multicultural Mental Health Australia www.mmha.org.au.