No one was injured in the exchange of fire, DIG, Public Grievance, Satish Ganesh told reporters here, adding the gang members escaped taking advantage of the dense forest.
Neighbouring Madhya Pradesh Police had been alerted, he said.
Dacoit Sudesh Patel alias Balkhadia was carrying a reward of Rs five lakh on his head, the DIG said.
Acting on specific information that members of the Balkhadia gang were hiding in the forest, police had launched a combing operation in the area, he said.