Sgt. Sean Drenth, 34, a 12-year-veteran of the department, died of an apparent gunshot wound sometime between 10 and 11 p.m. Monday night, The Arizona Republic reported.
Police say their headquarters lost contact with Drenth less than an hour before the Arizona Capitol Police discovered his body.
Drenth was shot in an open area often used by officers to work on paperwork in their cars while keeping an eye on happenings in their surroundings, police said.
Many police vehicles are single-officer units and Drenth did not have a partner, a police spokesman said.
"As the officer, you use your discretion on when you need a backup and what calls you take by yourself," Sgt. Trent Crump said.
Phoenix city council member Michael Johnson, a former police homicide detective, said it was too early to determine the circumstances of Drenth's death.
"There are just not enough details to elaborate or speculate on anything," Johnson said.
Officials would not discuss what weapons Drenth may have carried or whether there were signs of a struggle, the Republic reported.