"We are all locked in a chamber in the House of Commons, they have sealed the doors and we cannot get out," Mr Vaz, a Labour MP, told NDTV from inside parliament.
"There are 400-odd MPs here," he said.
British Prime Minister Theresa May was ushered into car in the grounds of the Palace of Westminster as shots rang out at around 2.45pm.
A woman died and others were being treated for "catastrophic" injuries after the attacks on Wednesday, said reports.
An attacker in a grey car hit people on Westminster Bridge before crashing into railings, then running through the gates of the Palace of Westminster and stabbing a police officer. Reports said the attacker was shot by police as he approached a second officer clutching his knife.
Mr Vaz, 59, said members heard gunshots. "We have been told that the attacker was shot. An air ambulance has arrived and everything is in a lockdown situation. This is all very alarming. We do not know what is happening."
The politician added, "We cannot even go to any other part of the building."
The attacks come a day after UK, following the US, banned passengers traveling from airports in several middle-eastern airports from bringing laptops, tablets and other portable electronic devices on board with them when they fly.