Belgian police killed a gunman holed up inside a Brussels building in a raid in connection with investigations into the Paris terror attack in November.

Several officers were wounded in the operation while the police are on the lookout for two more suspects.

Belgian officials said the suspects who barricaded themselves in an apartment fired at the police through a door when the raid took place.

"This operation is connected to the Paris attacks," a spokesman for Belgium's federal prosecutor said, according to Reuters.

Meanwhile, French authorities confirmed officers from the country took part in the raid in the Belgian capital.

French interior minister Bernard Cazeneuve said the joint police force came under gunfire from "heavy weapons".

"Two individuals apparently barricaded themselves inside a home," Forest mayor Marc-Jean Ghyssels told local media, the Guardian reported.

The police operation was extended into Tuesday night as Belgian Prime Minister Charles Michel called a meeting of the security council on Wednesday.

"Without doubt, we have had a lot of luck, with four lightly injured, because it could have been a major event," the prime minister said.

The November attack n Paris, which killed 130 people, was planned by radical French and Belgian nationals, French authorities believe.

France had even criticised Belgium for its lax monitoring of the activities of the fighters who returned from Syria after stints with the Islamic State.