AFP officer dies after Melbourne shooting

The Australian Federal police officer who was shot outside the AFP Melbourne headquarters has died.

The female officer was taken to the Royal Melbourne Hospital from the AFP office in La Trobe Street shortly before 6pm on Monday night in a critical condition and died a short time later.

The AFP confirmed her death in a statement issued on Tuesday morning.

AFP Commissioner Andrew Colvin said Victoria Police would investigate the incident and prepare a report for the coroner.

"Our colleague's death is not believed to be suspicious," Mr Colvin said.

"My thoughts are with her loved ones and the broader AFP family who are dealing with the loss of one of our own."

He said the AFP would not be commenting further "out of respect to the family".