Unnamed attackers stormed into Joy Jesus Church in Likoni south of Mombasa town killing the security guard and one officer. The gunmen also injured 10 other people.
Police officers who were close by responded swiftly to the attack but the attackers managed to escape the area.
Police have now barricaded all exits from the area as they conduct a manhunt for the gunmen.
This is the latest in a wave of attacks that have recently rocked Kenya's coastal region.
Previously, TNT explosives said to be capable of flattening a sizable building were found in a car parked in Mombasa.
Kenya's National Disaster Operation Centre has said there were "mass casualties" in the attack.
There was no immediate claim of responsibility for the church attack.
Kenya has been hit by a series of attacks since sending troops into southern Somalia in October 2011 to battle Al-Qaeda-linked Shebab extremists.
Kenyan troops, which have since joined the African Union force in Somalia, are taking part in a fresh offensive against Al-Shabaab bases launched this month.
Kenya - as well as Uganda, another key contributor of troops to the AU force - have both warned of the threat of fresh Al-Shabaab attacks in their own countries.
Al-Shabaab said its suicide commandos carried out the September massacre in Nairobi's Westgate mall in which at least 67 people were killed. The group said the carnage was retribution for Kenya's military role in Somalia.
Kenya's top security chiefs warned last month of "increased threats of radicalisation" among homegrown Islamists.
Police have appealed to the public to help in apprehension of the armed and dangerous criminals.
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