A report by The Star Online identified the men as Le Quoc Long, Vu Dac Sinh, Truong Quoc Dat and Truong Van Long.
The Malaysian online publication said the men were believed to be part of a bigger gang that operated nationwide, robbing stores and other outlets open late at night.
It said that police acting on a tipoff tracked down a suspicious car and chased it as it sped away. The report cited a senior police officer as saying one of the four men opened fire when they were asked to stop the car. One tried to attack the police with a machete, the report said.
The police responded by shooting and killing all four men. They recovered a semi-automatic gun, bullets, two machetes, gloves and other items. They are investigating how the robbers could get their hands on a gun, police said.
Another five Vietnamese were arrested last month for breaking into shopping malls, factories and petrol stations, drilling into safe boxes and stealing valuables.
They are facing criminal charges under the Malaysia’s Penal Code, which carries sentences of between five to 14 years in jail.