They said five men, including three federal police agents, were shot in the head near a dirt road about 15km (10 miles) south of Cancun.
Four charred bodies were found in a burned car at another location.
Drug murders are common on Mexico's border with the US but are rare in resorts like Cancun.
'Drug related'
Police said they found the five bodies on a plot of land on Thursday morning.
"They were blindfolded with their hands ties behind their backs and one of them handcuffed, all five of them facing the floor," police official Joaquin Hernandez told Reuters news agency.
The four other bodies were discovered the same day on a road some 10km (six miles) from the airport, police said.
Officials said the killings appeared to be drug related.
"It can't be anything else but that. It's not at all normal, it's a surprise to us, all this in Cancun," Mr Hernandez said.
The Caribbean coast of Mexico was a major drug trafficking route from Colombia to the United States in the 1990s.
However, a local drug ring was supposedly broken up with the arrests of its alleged leaders in 2001, experts say.
Burned alive
The news of Thursday's killings came shortly after police raided a Mexico City suburb where two officers had been killed by an angry mob.
More than 30 people were arrested after police with pictures taken in the attack went from house to house.
They are now investigating why the two men were not rescued - despite live TV coverage of Tuesday's events.
The two plain-clothes officers were burned alive after locals apparently mistook them for child kidnappers.
A third policeman who was finally rescued by colleagues - three and a half hours after the attack began - suffered serious injuries and is said to be in a critical condition.