Detective Garda Adrian Donohoe, who was attached to the Detective Unit in Dundalk, died after sustaining fatal gunshot wounds at the Lordship Credit Union in Bellurgan, Jenkinstown at around 9.30pm on Friday.
The officer, who was in his 40s, was escorting a cash delivery to the premises on the Cooley Road with a colleague, who was left traumatised but unhurt after the shooting.
Several shots were fired by the gang of robbers, who were waiting outside, when the detective approached them.
It is believed Gardaí are now hunting four men in a grey Volkswagen Passat which fled the scene.
The area has been sealed off.
Garda Commissioner Martin Callinan said: "I am deeply saddened to hear of the death of my colleague Detective Garda Adrian Donohoe."
Detective Garda Donohoe died as a result of injuries sustained in the course of his duty following a shooting incident in Dundalk.
Garda Commissioner Martin Callinan
"At this time my thoughts and prayers and those of the entire force are with the family, friends and close colleagues of Adrian."
Local Sinn Féin Councillor Jim Loughran said he knew the detective and described him as a quiet, decent family man.
"I just spoke to him last week on the street in town. I can't believe this has happened," Mr Loughran said.
He condemned the shooting as an "attack on the whole community".
"This was not just an attack on a Garda detective, it was an attack on the whole community," he said.
The officer was a member of local GAA club St Patrick's.
Sinn Féin president Gerry Adams said: "I am shocked at this crime.
"I extend my deepest sympathies to his family and colleagues and appeal to those with information about this crime to co-operate with the Gardaí," the TD for Louth added.
The PSNI have been informed of the incident, which happened just miles from the border.
There are no further details at this stage.