“An investigation has been launched and we are not ruling out terrorism because this attack is not a normal robbery,” regional police chief Larry Kieng told journalists of the shooting in the town of Ukunda.
The area in the far southeast of the country has largely escaped the attacks waged by the Islamist Shabaab group in Kenya and neighbouring Somalia.
Kieng said the assailants shot at the officers and grabbed their guns, killing one on the spot while the other died in hospital.
Since May, more than 20 police officers and a similar number of civilians have been killed in a resurgence of attacks in Kenya, including roadside bombings.
Ukunda, about 30 kilometres (19 miles) south of the main port of Mombasa, has an airport used by the many tourists visiting Kenya’s southern coast, including the popular beaches of Diani and Tiwi.
The Shabaab is fighting to overthrow the internationally backed government in Mogadishu but also often carries out attacks in Kenya, which has troops in Somalia as part of an African Union force.