The interior ministry said in a statement that one suspect was shot dead after opening fire and injuring three officers who stopped the car in which he was travelling.
Russia says six 'terrorist' recruiters detained in Saint Petersburg
Three other suspects were then "liquidated" in a security operation in the southern town, the statement said.
Officials said the suspects were being hunted over the killing on Tuesday of two traffic policemen in what local authorities called a "brazen attack" by militants.
The murders came with Russia on high alert following a bombing on the Saint Petersburg metro on Monday that killed 13 people. There is no apparent link between the two attacks.
Russia metro attack staged by Kyrgyz suicide bomber: Kyrgyzstan
Astrakhan lies several hundred kilometres northeast of the volatile North Caucasus, where Moscow is fighting a lingering militant insurgency.
While attacks against police regularly occur in Russia's Caucasus, they are much rarer in other regions.
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