David Kimaiya, the inspector general of police, said two police officers were among those killed in the explosion yesterday.
A reporter at the scene said it appeared that the blast ripped apart the back end of a sedan. The explosion happened near a police station's main gate.
Terror warnings have been a constant in Kenya in recent months, particularly after September's attack on Westgate Mall that killed at least 67 people.
Most of the small-scale attacks and explosions are blamed on al-Shabab, the militant group in Somalia that has vowed revenge attacks in Kenya because Kenyan troops moved into southern Somalia in 2011.