Police have arrested a suspect, but have not revealed his name or any details about the shooting during an emotionally charged news conference where Boulder police Chief Maris Herold fought back tears.
The attack ended with the police arresting a shirtless and injured man with blood running down his leg out of the store in handcuffs at the King Soopers store in Boulder – about 25 miles northwest of Denver and home to the University of Colorado.
However, authorities would not say if he was the suspect.
The incident began at around 2.30pm local time (8.30pm GMT) yesterday, Monday, 22 when the suspect entered the supermarket and began firing.
Investigators have started sorting through evidence and witness interviews and do not yet have details on a motive for the shooting, said Boulder County District Attorney Michael Dougherty.
He said: "This is a tragedy and a nightmare for Boulder County.
"These were people going about their day, doing their shopping.
"I promise the victims and the people of the state of Colorado that we will secure justice."
The attack was the seventh mass killing this year in the US, following last week's shooting that left eight people dead at three Atlanta-area massage businesses.
The killed officer was identified as Eric Talley, 51, who had been with Boulder police since 2010, Mr Herold said.
Mr Talley was one of the first officers to respond to the scene, authorities said.
"He was by all accounts one of the outstanding officers of the Boulder Police Department, and his life was cut too short," Mr Dougherty said.
Identities of the other nine victims were not disclosed on Monday night as police were still notifying their family members.
Matthew Kirsch, the acting US attorney for Colorado, pledged that "the full weight of federal law enforcement" will support the investigation.
He said investigators from the Bureau of Alcohol, Tobacco, Firearms and Explosives were at the crime scene, along with FBI agents.
They did say the suspect was receiving medical care and was the only person injured who did not die.