The women, wearing hijabs, entered the station saying they wanted to report a stolen phone, 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.
A BBC journalist in Mombasa said the women were apparently wearing bullet-proof vests under their dresses, and an unnamed police officer said "they were definitely on a mission".
A witness called Saumu told Agence France-Presse that they were "shouting Allahu Akbar (God is greatest, in Arabic).
Al-Shabab has recruited hundreds of Kenyans, especially around Mombasa which has a large Muslim population.
Al-Shabab said it was behind the massacre at Garissa University in April 2015, in which 147 people were killed, and the attack on Nairobi's Westgate shopping centre in 2013 in which 68 people were killed.
Three women have been killed after trying to stage an attack at the main police station in the Kenyan port city of Mombasa, officials say.