The rioting officers blame the government for not taking action.
More than 100 demonstrators blocked streets, burned tyres, broke security cameras and damaged vehicles.
Local media said several officers broke through the gates of the prime minister's residence and attempted to enter Haiti's international airport.
The National Union of Haitian Police Officers says 14 men have been killed since the start of the year in various gang attacks on police stations.
Seven officers were killed in shootout on Wednesday alone, according to Haiti's National Police.
Scores of civilians and angry police officers took to the streets in Port-au-Prince to denounce the violence following the murder of two officers inside a police station in a town in northern Haiti and the execution-style killing of four more on the street outside.
Some of them reportedly went to the official residence of Prime Minister Ariel Henry, Vant Bef Info said.
When they found it empty, they headed to Port-au-Prince airport where Mr Henry had just landed after a summit in Argentina.
Protesters apparently tried to gain access to the airport by breaking its windows, but Mr Henry managed to slip away, Haiti's Radio Tele Metronome said.
Many businesses and schools remained shut on Thursday in the wake of the protests.
Port-au-Prince and other cities have been racked for months by escalating deadly gang warfare, and Haitian media have reported that the country has seen a marked rise in kidnappings since the start of the year.
A Haitian human rights group, the National Network of the Defense of Human Rights, said 78 police officers have been killed since Mr Henry came to power in 2021.
Outgunned by the multiple criminal gangs, Haiti's police have been unable to halt the violence.
In October 2022, the Henry government appealed to the international community for a multi-national security force to help restore order - but the call has so far gone unanswered, despite some increased aid from the US and Canada.
Armed groups control and terrorise at least 60% of the capital and its surroundings, according to Haitian human rights groups, and are controlling the roads in and out of the city.
Last September, gangs seized a major fuel depot in Port-au-Prince's port, blocking the delivery of imported fuel and hampering efforts to distribute food and medicines.
The blockade forced many businesses to close and complicated the distribution of petrol and bottled drinking water, all while a cholera outbreak worsened.
The UN envoy to Haiti, Helen La Lime, said on Wednesday that "the situation in Haiti is grave".
"You know that gang-driven violence has reached new heights. On average, we we face one kidnapping every six hours in 2022.
"We will not win the fight without significant levels of additional support," Ms La Lime said.
Watch: Fires burn as rebel police riot on streets of Haiti