Two robbers were also shot dead as security personnel tried to foil the raid at the government-owned National Bank in the troubled Mastung district of Balochistan province.
Asad Gillani, Home Secretary of the province, told reporters that besides the five police personnel who were killed three others were injured in the shootout.
"There were five robbers who wanted to loot a bank in Mastung market and initially two policemen who were on duty resisted them and were shot dead. A police party chased them and the robbers opened fire after a kilometre in which five more people were killed," he said.
"They have identified as locals of the area," he said.
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Police personnel were immediately called to the area to bring the situation under control and they launched a search operation to apprehend the robbers.
In recent months separatists and militants have resorted to looting banks in the province which has been hit by insurgency and sectarian violence since years.
Quetta and other parts of Balochistan have seen a sharp rise in bank robberies.
The incident comes a week after thieves robbed a private bank in Quetta.