The attack took place as the officers were driving to a security checkpoint near the Balhaf terminal, in the southern province of Shabwa, the official told AFP.
"Armed men in two cars opened fire on the policemen, killing them on the spot," he said. He was unable to identify the assailants or explain their motives.
Earlier today, a special forces officer was abducted by armed men northeast of Balhaf, and his body was later found to the west. He had been shot three times.
Yemeni security personnel have come under increasing attack in recent months, particularly in the south and east of the country, with authorities generally blaming Al-Qaeda.
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Al-Qaeda in the Arabian Peninsula (AQAP) has taken advantage of the weakening of the central government since an Arab Spring-inspired uprising in 2011 toppled president Ali Abdullah Saleh after 33 years in power.
In September, the army said it had foiled a bid to attack Balhaf, the country's only gas export terminal, hours after suspected Al-Qaeda fighters killed 56 soldiers in a coordinated attack in Shabwa.