Around 30 people, including some children, have barricaded themselves into the caves dug out of a hill in the Penza region of central Russia.
They say the world will end on May 28.
The Kommersant newspaper quoted a policeman as saying the shots were fired after he had tried to help cave dwellers who said melt water had dislodged earth in the caves and they were afraid of being buried alive.
“No police were injured in the shooting,” an interior ministry spokesman told Kommersant.
The newspaper did not say how many shots were fired or with what type of weapon, and a regional interior ministry spokeswoman declined to give details.
The authorities are currently prosecuting the group’s spiritual leader for stirring up religious and national hatred through his books.