A man in his 80s who was being chased by police after a brothel shooting has shot himself on a major freeway in Melbourne's north-west.

Police were pursuing the man after a shooting at a Brunswick brothel, Romantics, about an hour earlier.

They approached his car, which had stopped on the Calder Freeway just after 11am, and found he had shot himself.

A police spokesman said the man appeared to have shot himself at some time before police approached the vehicle.