The women, wearing hijabs, entered the station saying they wanted to report a crime, police say. One of the women pulled a knife and another threw a petrol bomb, starting a fire. Two officers were injured.
It is not clear who is behind the attack, but Islamist group al-Shabab has staged numerous attacks in Kenya. The Somali-based group has been targeting Kenya since 2011, when Kenyan troops were deployed to rid Somalia of the militants.