A female AFP officer has died after a shooting incident at the Melbourne headquarters.

The woman was found at the La Trobe building with a gunshot wound shortly before 6pm on Monday.

She was taken to the Royal Melbourne Hospital in a critical condition.

The AFP has since issued a statement, confirming the woman died in hospital.

In the statement, AFP Commissioner Andrew Colvin described the shooting as a tragedy and that the circumstances would be investigated.

Nobody has been arrested and police aren’t looking for anyone.

The death is not being treated as suspicious.

The AFP is offering support to the woman’s family and the wider AFP workforce.