The city government of Tlalnepantla, about 30 miles north of the capital, said in a statement that it had asked the Mexico state prosecutor's office to investigate the theft.
“The General Public Security Commission of Tlalnepantla provided the state agency with all the data it has on the events that occurred this morning, when two armed suspects entered the module, threatened the police in turn and stole weapons, nine radios, and laptops, which have already been discharged,” the statement said.
The statement did not specify what type of guns were stolen, but local police typically carry pistols.
The city's police department also opened an internal investigation to determine whether any city employees were involved.
The Associated Press contributed to this report.