Pictures posted on local media showed police cars with flashing lights crowding the crime scene, a residential street in Dammam, according to Reuters.
In September, two other policemen were shot dead in Dammam which is the capital of the Eastern Province, home to many Shiite Muslims.
There have been shootings of security forces in the Eastern Province in the past by gunmen angry at what they say is repression of their minority community in the Wahhabi-ruled country.