The suspect, a 20-year-old man from the suburb of West Allis, had two felonies on his arrest record, said police spokesman Sgt. Tim Gauerke, who did not disclose the man's name.
The 31-year-old officer was taken to a hospital with serious wounds that weren't considered life-threatening, he said.
"This is just another example of the risks our officers take each and every day to protect these citizens," Assistant Milwaukee Police Chief William Jessup said at a morning news conference.
The officer was sitting in his squad car conducting the investigation at about 2 am when a suspect approached on foot and fired at the officer, striking him several times, Gauerke said.
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About a half-hour later, officers heard a nearby gunshot and found a man who had apparently shot himself in the head, killing himself.
Investigators believe the dead man was the suspect in the domestic violence incidents and the person who shot the officer, Gaurke said. The name of the officer, a 13-year police veteran, was not immediately released.