The "explosive device" that led the Bomb Squad to establish an exclusion zone around a police station in Melbourne's south-eastern suburbs has been declared safe.

At around 1.30pm a man entered the St Kilda Police Station near the corner of Chapel and Carlisle streets in St Kilda and told officers he had come across some explosive devices.

"The man was just cleaning out ... his father's garage, he found some items he thought he shouldn't have," Inspector Narelle Beer said.

When police questioned the man he told them he had the device in his car parked nearby in Duke Street.

A robot examines the device. (9NEWS)

It is not yet known why the alleged explosives were brought to the police station. (9NEWS)

"Obviously they've been collected over a number of years and involved ammunition, firearms and some other items we had some concerns with," Inspector Beer said.

The man was kept inside the police station while Bomb Squad technicians examined the man's car.

They discovered the device inside the car and an officer from in a bomb disposal suit, and assisted by a bomb robot, removed the bag from the back of the man's car.

The officer and the robot are taking turns in examining the device. (9NEWS)

Surrounding streets have been closed off while police investigate. (9NEWS)

The bag was placed in the middle of the street while the technician carried out an inspection of the items which included a World War II era firearm.

The robot placed the device into a large insulated bag before police gave the all clear just before 4pm.

An officer wearing a bomb disposal suit examines the device. (9NEWS)