The cause of the blast at Assanands House remained unclear but several people could be seen being pulled out of the damaged building.
Witnesses said some of the injured women appeared to be in a critical condition and their survival was uncertain.
“I saw three women being pulled out this place… they were in bad shape because two of them were badly burnt. We don’t know their condition as yet,” one witness, Jacob Mulwa, who operates a boutique nearby said.
The explosion occurred at about 1.15pm.
People in adjacent shops said they saw two men hurl something at the building before they were pursued by police officers on patrol. The building houses several clothing stalls and video shops.
Citizens within the Central Business District and those in buildings as far as Koinange Street heard the massive blast.
Emergency crews rushed to the scene and were busy evacuating the injured minutes after the explosion.
Immediate reports said at least 20 people had been injured in the blast were rushed to hospital.
“We cannot tell the exact number of people who have been wounded but, we know of eleven, there could be more but we are still checking with the hospitals,” Eric Mugambi, the central police division police chief said.
He said the number of those wounded was likely higher because some were taken to hospital by good Samaritans with their private cars.
“I was just passing out here, and I heard a loud explosion, I didn’t know where it came from and as I ran towards the other side, I was hit by broken glasses,” a man who identified himself as George Maina said, as rescuers attended to him near the Bazaar building.
A student at the Mount Kenya University (MKU) said he had just had lunch and as he walked upstairs to campus, he heard a loud blast.
“This cannot be a small thing, the explosion was loud in fact I thought it was at our campus, but when I ran out I saw people running out of the building next, many people have been wounded,” the student, who only identified himself as Kevin, said.
Police officers from the bomb disposal unit at the scene said there was every reason to believe it is a bomb.
“You see the building has been shaken and it has major cracks. You can see the door and window glasses have been thrown to such a distance, it is possible this is a bomb,” a police officer said at the scene.
The entire Moi Avenue was immediately sealed off and police desperately appealed to members of the public to keep off the scene.
Kenya has been hit by a wave of attacks that the police have repeatedly blamed on Somalia’s Al-Qaeda linked Shabaab insurgents.