The attackers shot and wounded Sergeant Anan Naksakul on Wednesday as he walked out of the grocery store he owns in Pattani province.
Police, who had been tracking the attackers, were waiting nearby and fired back, said Lieutenant-Colonel Somporn Meesuk.
A woman bystander was also wounded.
Police identified one of the dead suspects as Asawin Ware-amin, 18, a student at an Islamic school in the province. The identity of the other attacker was not immediately known.
Separately, six hooded men - also suspected separatist fighters - stole four shotguns from Muslim village defence volunteers who were headed for morning prayers at a mosque in neighbouring Narathiwat province, said police Lieutenant-Colonel Chalong Ratanapakdi.
Yala, Pattani and Narathiwat are the only Muslim-dominated provinces in largely Buddhist Thailand. More than 700 people have been killed in the area since January 2004.
The government blames separatists for the violence.