Santa Catarina Police Chief German Perez was shot at least eight times, said a Nuevo Leon state police official, who agreed to give details of the case only if not quoted by name.
Mayor Gabriel Navarro said Perez had not mentioned receiving any threats when they spoke earlier in the day.
Witnesses told police that gunmen in two cars and three pickup trucks arrived at Santa Catarina's police headquarters Monday afternoon and went straight to Perez's office.
Navarro said it wasn't clear where Perez's bodyguards were at the time of the attack. He said state investigators were reviewing surveillance tape.
Perez's killing came a day after three Santa Catarina police officers were detained on suspicion of spying on officers in a neighboring town for the Zetas drug cartel.
Santa Catarina is a suburb of Monterrey, a business and industrial center that is Mexico's third largest city. The greater Monterrey area has been the scene of constant killings and reprisals among rival drug traffickers since a rupture between the Gulf and Zeta cartels in late 2009.