The attack occurred in the Spin Boldak district bordering Pakistan during a pre-dawn patrol, said General Abdul Raziq, provincial border police commander.
"In an explosion this morning all five border policemen were killed when their vehicle was hit," he told AFP.
The Taliban, waging a violent insurgency that is at its worst in the south, claimed responsiblity for the bombing, with spokesman Yousuf Ahmadi, speaking from an undisclosed location, saying eight policemen had been killed.
The Taliban often make wildly exaggerated claims on such incidents.
Roadside bombs, often made from a mixture of fertiliser, fuel and metal, have become the weapon of choice for the Taliban-led militants and are causing increasing numbers of casualties among foreign and Afghan forces.
President Hamid Karzai, re-elected in a fraud-marred vote in August, used his inauguration speech on Thursday to say that Afghan forces will take responsiblity for national security in five years.