"Three policemen escorting the oil executive were killed while the man was abducted and taken to an unknown destination," state police spokeswoman Grace Iringe-Koko told AFP.
Dressed in military uniform, the gunmen ambushed and opened fire on the convoy of two vehicles transporting the policemen and the senior oil executive on Thursday in the Rumuokoro area of Port Harcourt, the capital of Rivers State.
The attackers posing as a military patrol in a green minivan called for the convoy to stop before opening fire, she said.
Police said the kidnapped victim was a director of Port Harcourt-based oil and gas service and maintenance company IGPES Group.
The company did not immediately respond to a request for comment.
Investigations are under way and police are searching for the attackers, Iringe-Koko said.
Police could not immediately disclose a motive for the attack and no group has claimed responsibility.
Kidnapping for ransom is a huge security problem in Nigeria, targeting both wealthy businesspeople as well as poor farmers who are often snatched in mass abductions in the north.
The Niger delta is home to Nigeria's multi-billion-dollar oil and gas resources, but residents of the region live in poverty due to decades of oil exploration, neglect and pollution.
A 2009 government-backed amnesty programme for the oil rebels has helped reduce attacks but sporadic incidents including large-scale oil theft persist in the region.
Nigeria, a member of OPEC and one of Africa's largest crude producers, is estimated to be losing as much as $2 billion to oil theft and pipeline sabotage in the region every year.