A colleague said that the man had just picked his G3 rifle gun and headed to his place of work before he decided to commit suicide.
He said the officer had off late shown signs of depression noting that he had stopped the normal social engagements with colleagues at work.
"We had noticed something was going wrong with him and we tried to talk to him although he would say everything is okay," he said.
Gilgil OCPD Sera Koki confirmed the incidence saying that the officer shot himself three times on the head leading to the death.
"We were informed of the unfortunate shooting incident at the Anti-stock theft Unit headquarters and we are working with officers from the unit in investigating the matter deeper,” she said.
She said the body had been collected and taken to Gilgil sub county hospital mortuary adding that they had opened an inquiry file.
Meanwhile angry residents of Sakutiek area on the border of Naivasha and Narok area lynched a suspected thief moments after stealing from one of the shops.
According to a resident Maenga ole Parisioi, two thugs raided one the shops in the area and stole goods of unknown value.
Parisioi said the shop owner raised an alert and residents responded and caught up with the two who were on a motorcycle.
"However one of thugs managed to escape while residents beat up the other to death and set ablaze the motorcycle they were using," he said.
A senior police officer who did not want to be named confirmed the incidence saying the body had picked and taken to the Naivasha sub-county hospital mortuary.
"We have launched a manhunt for the suspect who residents claim escaped but at the same time we urge them to inform police of such actions rather than taking the law onto their hands,".