Police spokesman Ivo Kotevski said the four were killed in the area of Radusa village when police intercepted them attempting to smuggle weapons across the border from Kosovo.
He says the four had been traveling in a van in which authorities found a large amount of weapons and explosives.
Earlier this month, a former ethnic Albanian rebel group, the National Liberation Army, claimed responsibility for another shootout in the border area, which it said killed a Macedonian soldier. The Macedonian government had said nobody had been hurt in that shooting.
The NLA fought a brief war against government forces in 2001.