There were no trains present on the platforms when the explosion took place at 1:55 am, they said.
Director General of Police A K Bhargava said no organisation has so far claimed responsibility for the blast.
Asked whether RDX was used in the blast, he said this would only be known after the blast material was inspected by explosives experts.
He, however, clarified that it was not a "crude device".
He said the police was maintaining a tight vigil in and around cities in the state and an alert had been sounded.
The damage from the explosion could have much more had there been any train at the station. Two trains had pulled out before the explosion, and the Kutch Express was about to arrive on the platform.
A squad from the forensic science laboratory, bomb disposal squad and fire brigade personnel have rushed to the site, the police said.
UNI adds: Fourteen people were injured in the blast at Ahmedabad railway station. While 12 of them, who received minior injuries, were discharged after given first aid, two others were still in hospital.
The injured were mostly waiting passengers. Two of them were workers at the railway stalls. Two of the stalls were blown up in the explosion.
The bomb was kept near an iron pillar on platform 2. The impact of the explosion was so strong that the platform's roof was blown up in the blast, and some offices on platform 1 were also damaged.