Use the menu item instead:
tell application "Finder" to activate
tell application "System Events"
tell process "Finder"
click menu item "Shut Down…" of menu 1 of menu bar 1
If you use another system language than English use the proper shut down command instead.
At least in OS X 10.11 you have to allow Script Editor/the resulting app to control your computer in System Preferences -> Security -> Privacy -> Accessibility.
You have to copy the menu item exactly including spaces. E.g. the three dots are not three dots but an ellipsis: alt; -> … (en-US keyboard layout)