An inquiry had been started, principal chief conservator of forests S C Pant said.
"An adult sloth bear was found shot dead near Dantiwada area on late Friday night," he said, adding this was perhaps the first incident of this kind in the area.
The bear had bullet injury near its head.
"I do not remember any incident in the past where a bear was shot dead in the forests here. Whether the person shot the bear in self-defence or for poaching will be investigated. We are also gathering information about everybody in the area who possesses a firearm," said Pant.