An explosion damaged a police station in Copenhagen early on Saturday, the second blast to hit the Danish capital in four days.

No one was injured in the blast outside a small unstaffed police station in the area of Norrebro, just outside the city centre, Chief Police Inspector Jorgen Bergen Skov said.

On Tuesday, one person was slightly injured in an explosion outside the Danish Tax Agency's office in what police said was a deliberate attack.

Skov said Saturday's blast was also a deliberate act, but it was too early to say whether the two blasts were connected.

"This was not an accident, but a deliberate act," Skov said, adding that while the investigation was still underway, nothing suggested it was terror-related.

"These were attacks against buildings, not people," he said. "But it is too early to say anything about the motive."

Police were searching for a man seen running from the scene of the blast, he said.

Serious attacks or violence are rare in the Nordic country of 5.7 million people that prides itself on a reputation for safety and social tolerance.