Police said a third suspect escaped with gunshot wounds and security officers were pursuing him.
Mombasa County Commissioner Nelson Marwa confirmed the shooting and said they had recovered a firearm from the suspects.
Security has been beefed up in the country with police taking tough measures specifically at the Coastal town of Mombasa.
Marwa had issued a shoot to kill order earlier in the week but the Inspector General of Police David Kimaiyo has asked his officers to ignore the directive.
“Nobody in this country is authorised to shoot-to-kill whether it is a law enforcement officer. Due process of the law must be followed; an officer may be justified to use his official firearm when his life is in imminent danger,” Kimaiyo said on Friday.