A security official in the Malian capital Bamako confirmed the ambush, adding that the fighters had taken two police prisoner, one of whom was later released to authorities with news of his comrade's deaths.
"It was a well-planned attack," the unnamed source told the AFP news agency.
The Sahara region has in recent years seen a dramatic increase in the activities of fighters linked to Al-Qaeda in the Islamic Maghreb (AQIM), which has claimed several attacks against foreigners.
Security experts say al-Qaeda is building a base in the desert region that straddles the borders of Algeria, Mali,Mauritania and Niger where its exploits the porous borders, patchy security and networks of drug traffickers.
Last week the Algerian government announced a new strategy in coordination with neighbouring countries to confront what it described as "trans-Sahara terrorism".
AQIM was founded in the late 1990s with the aim of overthrowing the Algerian government and replacing it with Islamic rule.
Believed to number around 300 fighters, its influence spans large parts of north and west Africa and it has raked in millions of dollars from ransoms.