The shooting Monday night occurred at a police camp in Arhanpur in the state's Dantewada district, the Press Trust of India news agency reported. Another member was injured in the incident.
The report quoted an official as saying the assailant opened fire as his colleagues were sleeping.
Three of the victims died at the scene and the fourth died while being taken to a hospital along with the injured member, whose condition was not immediately available, the report said.
It was not known what led to the shooting, but one official was quoted as saying the assailant had been suffering from some "psychological problems."