Additional SHO Kuldeep Kumar was found dead in the room by personnel of the police station. He was also in additional charge of the station as SHO Vijay Kumar was on leave, they said.
The shot was allegedly fired from his service revolver, ACP Manish Sehgal told PTI.
"It cannot be declared as suicide yet. A conclusion can be reached after a thorough investigation. Police are yet to receive ballistic and forensic reports. All angles and statements are being looked into," Gurgaon Police Commissioner Sandeep Khairwar said.
No suicide note was found from his possession, police said.
A former personnel of the Indian Air Force, Mr Kumar, a resident of Narnaul, joined the state police in 2008 as a Sub-Inspector and was promoted to Additional SHO five months ago, Mr Sehgal said.
He is survived by his wife and two children, he said.