An official of the city prosecutors' office who was not authorised to be quoted by name said yesterday that the two Canadian women were detained Sunday.
A Mexican man was also detained. Prosecutors say the three face possible charges of causing damages to the office and the nearby car dealership.
The motive in the attack was not immediately clear. Some Mexico City banks have been hit in recent years by small incendiary devices. Those attacks have been attributed to small groups of leftists or animal rights activists.