The incident occurred in southern Muzafargarh district of the province.
The woman had given a statement on her hospital bed in Multan city that she was kidnapped and raped by three police officers six days ago, a police official told PTI.
"She tried to register a case but failed and in protest set her on fire in front of a police station in Muzaffargarh on Monday," he said.
Following the attempt to self-immolate, the woman was shifted to a hospital in Multan but died due to severe burns.
Crimes like sexual attacks, honour killings and domestic violence against women are rampant in Pakistan. But most of them are never reported.