The explosion, at about 3.20am, caused damage to the ground floor of the police station in Norrebro, which is just outside the city centre, but did not injure anyone.
On Tuesday, police said a tax office in the capital was deliberately targeted. On that occasion, one person was slightly hurt.
It is too early to connect the two incidents, police have said, but Danish newspaper Ekstra Bladet said officers are searching for a man who was seen running from the scene of the latest explosion.
Danish news channel TV2 said he was reportedly wearing dark clothing and light coloured shoes.
The area around the latest explosion, in Hermodsgade, was cordoned off so a forensic examination could take place.
Officers investigating the first blast said on Friday they had found traces of an explosive used in demolition work.
They said the device was placed 60cm from the entrance.
A call for people in the area to get in touch had resulted in more than 120 people coming forward.
Chief inspector Jorgen Bergen Skov said: "It has been important for the investigation, and if there is still someone out there who has knowledge and has not yet been in contact with us, then our phones are open around the clock."