An explosion at an ATM in WA's South West has prompted police to ask anyone who finds money along the South Western Highway to contact them.

Police say gas was used to blast open the machine at the Bendigo Bank in Waroona around 3:40am (AWST).

Damage to the building on Waroona's main street is extensive.

About 7:30am a utility believed to be involved in the incident was found burnt out on the corner of Wanjeep Street and Silvergum Avenue in Coodanup, a northern suburb of Mandurah.

Police believe three offenders targeted the ATM and one may have been injured in the explosion.

A robot with a camera has been sent in to investigate the scene and shrapnel.

A roadblock was set up and a 200 metre exclusion zone established.

Businesses were closed until police declared the area safe this afternoon, and roads were reopened about 4pm.

Police have asked anyone who finds money along the highway between Waroona and Mandurah to collect it and contact Crime Stoppers or hand it into the local police station.

Witness heard alarm before explosion

A woman who does not want to be named has told ABC News Online she was asleep in the living quarters of an antique shop next door to the bank when the explosion happened.

"I heard the alarm go off first and I lay there listening, trying to work out which shop it was coming from," she said.

"Then it stopped and then there was a 'whoom', she was a ripper all right.

"It felt like ages, I know it wasn't, but it felt like shrapnel was falling all around for a long time.

"I heard the tin going and I thought crikey, someone's trying to get in here.

"I heard raised voices and then it went quiet.

"I snuck downstairs through the shop and looked through the venetians but it was dark and I couldn't see anything.

"The police and everyone was there very quickly."

She said police told her to stay indoors until investigations on the street were completed.

"I've done the dusting, it's all spick and span and the dog's been fed," she said while waiting for the all-clear.

"The fridge has got tucker in it so I'm OK."