Three women tricked their way into a Mombasa police station where they stabbed one officer and set fire to the building with a petrol bomb before they were shot dead.

Under the pretext of reporting a stolen phone, the women walked into the police station on Sunday morning around 10:30 local time, with a knife and petrol bomb concealed in their traditional Buibui robes.

"While being questioned by officers, one drew a knife and the other threw a petrol bomb at the police officers," Patterson Maelo, Mombasa County Police Commander, told reporters at the scene.

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"The station caught fire. Police shot the three and killed them. Two officers are in hospital with wounds. Presumably it is a terror attack."

3 women shot dead. 3 officers injured & hospitalized. Petrol bomb burns down section of station. #MombasaAttack pic.twitter.com/oTEpSi0kho — Mac Otani (@MacOtani) September 11, 2016

Two bullet-proof jackets and an unused petrol bomb were recovered from the dead suspects, coast regional commander Nelson Marwa told reporters.

"We already have crucial leads that will help in the investigation," he said.

Two separate police sources who asked not to be named said a woman who had housed the suspects the night before the attack had been arrested.

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Salma Mohamed, a witness who was at the station to see a relative in custody, told Reuters news agency that one attacker had jumped on to a counter and stabbed an officer in the thigh before being shot.

Police did not say which group the suspects were linked to but Mohamed said the women pledged allegiance to al-Shabab.

"They shouted saying they were al-Shabab and recited the Arabic slogan 'Allahu Akbar' even as police fired bullets at them. They did not run. They shouted until bullets fell them down," she said.

No group has claimed responsibility for the attack yet.

Mombasa, a city on Kenya's coast with a large Muslim population, has been targeted by al-Shabab fighters several times in recent years, although the frequency of attacks has slowed.

Somalia's al-Qaeda-linked al-Shabab group has previously taken responsibility for attacks in Mombasa and other parts of Kenya, in what it said was retaliation for the East African country sending its troops to Somalia.

Al-Shabab was behind an attack on Nairobi's Westgate shopping mall that killed 67 people and a raid on Garissa university in the northeast that killed 148. Al Shabab fighters also launched several attacks in 2014 that left more than 100 dead in Lamu County region.