He was accompanied by senior EFF member Floyd Shivambu and lawyer Dali Mpofu.
The three were taken upstairs to the station commander’s office.
Reporters were barred from entering the office.
Malema was to lay charges against Zuma following the release on Wednesday of Public Protector Thuli Madonsela’s final report on the upgrades to Zuma’s private Nkandla homestead in KwaZulu-Natal.
In her report, Madonsela found Zuma “unduly benefited from the enormous capital investment” in the Nkandla upgrades, totalling R246 million.
EFF supporters waved placards outside the station while singing anti-Zuma slogans.
Some posters read “Zuma you are a thief” and “Arrest those who killed Marikana miners”.
A makeshift coffin bearing Zuma’s face read “Zuma rest in peace”.