They also razed the station and two operational vehicles.
Though it was rumoured more than four policemen may have been killed, the Police Command said only two died.
Anambra Police spokesman, Ikenga Tochukwu, said the two died during a gun duel with the attackers.
He also confirmed two operational vehicles of the Command were burnt with sections of the building.
Tochukwu said the new Commissioner of Police, Chris Owolabi, had detailed crack team to apprehend the perpetrators.
He said the Police Crack team, led by Assistant Commissioner of Police in-charge of Operations, had visited the scene and conduct on-the-spot assessment of the incidence.
Tochukwu said: “During the gun duel, two police operatives paid the supreme price.
“The hoodlums in a bid trying to escape set part of police building on fire and two operational vehicles.
“Meanwhile Investigations are ongoing to identify the perpetrators of this heinous crime.”