The individuals aged 20 to 27, whose identities and motives are unknown, then chained themselves together in front of the camp's infamous "Arbeit macht frei" ("Work makes you free") gate, the museum said in a statement.
Regional police spokesman Sebastian Glen said the seven men and four women draped a white banner with the red text "love" over the infamous gate.
They also used a drone to film the incident, according to local media.
Museum guards at the site in the southern city of Oswiecim immediately intervened and police said all those involved have been detained.
They include six Poles, four Belarusians and one German, according to Glen, who told AFP that "a knife was found at the scene."
Oswiecim police said in a statement that "one of the men used a sharp tool to kill the sheep on the premises."
Local police spokeswoman Malgorzata Jurecka told AFP that the individuals were being questioned at a police station and police officers were investigating on site.
She said they plan to inform prosecutors of the incident, adding that the people involved "will likely be charged with desecrating a monument or other historical site."
Oswiecim police said the individuals were also being investigated for the "unfounded killing of an animal."
'Shocked and outraged'
"We're shocked and outraged by this attempt to use this memorial site for a protest and which mars the memory of millions of victims. It's a reprehensible act," museum spokesman Bartosz Bartyzel told AFP.
"This is the first time something like this has happened at Auschwitz," added museum director Piotr Cywinski.
"I have no idea what their motives were," he told AFP.
Unconfirmed local media reports said the incident was intended as a protest against the armed conflict in Ukraine.
Poland's chief Rabbi Michael Schudrich said the actions of those involved were wrong, regardless of the group's motives.
"Any use of Auschwitz for political statements, even using Auschwitz for moral statements, is not how Auschwitz should be remembered," he told AFP.
"The Germans used Auschwitz to try to eliminate the Jewish people. Any happenings are a desecration of the memory of all those killed at Auschwitz: Jews, Poles, Soviet prisoners of war, Roma and others."