The kidnapping, near the border with Somalia, is the first involving foreigners since Kenya sent troops into Somalia in October in a bid to crush Islamist militants.
The gunmen are suspected sympathisers of Somalia's al Qaeda-linked al Shabaab insurgents, according to regional deputy police chief Philip Ndolo.
However, al Shabaab said it was not aware of the attack at the Dadaab refugee camp.
Spokesman Sheikh Abdiasis Abu Musab said: "So far we are not aware about any aid workers kidnapped from Kenya's refugee camps."
Kenyan police said the four aid workers were from Norway, Canada, Pakistan and the Philippines.
They were working for the Norwegian Refugee Council (NRC) and the group's secretary- general, Elisabeth Rasmusson, was also in the convoy but was unharmed.
Mr Ndolo said a Kenyan driver shot in the attack had died of his injuries while being treated, while two other Kenyans were also shot, another driver and a contractor for the NRC.
After the attack police and the military pursued the kidnappers, who drove towards the Kenya and Somalia border.
"I can confirm that military helicopters have been dispatched," Colonel Cyrus Oguna of the Kenya Defence Forces said.
Mr Ndolo said the car in which the aid workers were travelling had been abandoned by the attackers.
He added that the group was probably using another vehicle or was on foot.
However, he could not say if they had already crossed into Somalia.
Dadaab, about 62 miles from Somalia, was set up in 1991 to house Somalis fleeing violence in their country.
It has since become the world's biggest refugee camp, with almost 500,000 residents.
Kenya deployed its troops just days after two Spanish women who had been working for Medecins Sans Frontieres were kidnapped at Dadaab last October. They are still being held.
That kidnapping took place within weeks of two incidents that saw Somali gunmen seize Western female tourists from beach resorts in northern Kenya.
A British woman was later set free while the other, from France, died in captivity.
Mr Ndolo said the gunmen shot at a convoy of two vehicles.
He said: "They had shot at the first of the two vehicles, but it drove off. It had other workers.
"The staff were driving from one camp to another."
Oslo-based NRC confirmed that there had been an incident involving an NRC convoy in Dadaab.
"There has been an incident involving the secretary-general of the Norwegian Refugee Council, Elisabeth Rasmusson, but she is now safe," said Rolf Vestvik, director of advocacy and information at the NRC.
"We can confirm that our secretary-general was part of that convoy. And she is unharmed and safe.
"We are now trying to get more information on what has happened."