By Agence France-Presse
The explosion occurred just after midnight in the city centre, which is home to around 100,000 people.
Prime Minister Stefan Lofven called it "an attack against our democracy" and urged authorities to "step up the fight against serious crime."
The blast, heard from as far away as 20 kilometres (12 miles), caused no injuries but serious material damage. The police station entrance was completely destroyed, with dozens of windows smashed.
Police sources quoted by daily Aftonbladet said several kilos (pounds) of explosives were used.
The head of the local police, Patric Heimbrand, told reporters that investigators were working on the presumption that "criminal circles" were behind the attack. He said police work against gangs was paying off and likely causing "irritation".
Explosives are often used by organised crime rings in Sweden, especially in the south where settling of scores and intimidation are frequent among drug traffickers.
Police and judges are also regularly targeted.
On November 30, 2014, a blast damaged a building in the southern city of Malmo that housed police, prosecutors, a courthouse and penitentiary administration.
Heavily armed police officers were stationed outside those buildings on Wednesday.
Although the Nordic nation has a relatively low crime rate compared to the rest of Europe, physical violence against police officers has surged. In 2016, it rose by 65 percent with 86 cases reported, according to government figures.