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The accused Rajendra Gupta fled after committing the crime, they added.
The incident took place in the Bhaidani area Monday late night when the victims — Rajendra’s wife Neetu Gupta (45), their sons Navnendra (25) and Subendra (15), and daughter Gaurangi (16) — were fast asleep, DCP Gaurav Banswal said.
The family’s tenants came to know of the incident on Tuesday afternoon and informed the police.
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Prima facie, Rajendra, who had a murder case pending against him since 1997 was out on bail, is the main suspect and is absconding, the officer said.
The police have recovered empty shells of pistol from the house and attempts are on to trace Rajendra, he added.
The police said they are trying to ascertain the motive behind the killings and a probe is underway.