The officers are due to be questioned about what happened and an investigation is underway.
According to Metronews, the officers were training in the area and were swept away when an avalanche was triggered.
They later found the body of the New Zealander in the deep snow, The Local reported.
The incident was in the same area as an avalanche in July 2012, which claimed nine lives.
Eighteen months ago, New Zealand woman Carol Nash-Hamilton, 58, was among six experienced skiers who were swept away by the large snowslide in the French Alps, described as one of the deadliest in years.
Ms Nash and the other members of the French Federation of Alpine and Mountain Clubs died on the ski trip near the town of Ceillac in in the Queyras Massif, 200 kilometres north of Nice on the Italian border.
The avalanche was 300m wide and 900m long, French media reported.
Ms Nash's death was described as "a huge loss for the New Zealand mountaineering fraternity".
A Ministry of Foreign Affairs and Trade spokesman said they were unaware of Monday's incident when contacted by the Herald but they were looking into it tonight.