The encounter took place in the basement of the Ansal Plaza shopping mall in south Delhi at 1931 IST, they said.
"No civilian has been injured," Deputy Commissioner of Police (Special Cell) Ashok Chand told reporters.
While police beefed up security in the area after the encounter, business continued as usual minutes after the suspected terrorists were killed.
Joint Commissioner of Police (Special Cell) Neeraj Kumar said the joint operation of the Delhi Police and intelligence agencies lasted for around 15 minutes.
"We had information of a Diwali-eve strike in some congested market place. Also, we had specific information that it would be carried out either at South Extension or the Ansal Plaza," he said adding the police had deployed around 20-25 commandos in plain clothes to avert any untoward incident.
The two persons drove into the underground parking lot in a white Maruti 800 a little after 1900 IST. They were making their way up the staircase leading to the upper storeys where hundreds of shops are located when a police team sought to verify their antecedents.
The armed militants then started firing at the police party, Kumar said.
Police sources said a policeman was injured in the incident.
"Our information is that the militants aged 20-25 were from the Lashkar-e-Tayiba. We will get more details once the search of their personal belongings is complete," Kumar said.
He said a Russian-made AK-56 rifle, two pistols, two loaded rifles, an equal number of Chinese-made pistol magazines and a map of Delhi with the markets marked on it were recovered from the bodies of the slain persons.
The bodies have been sent to the All India Institute of Medical Sciences for post-mortem, Kumar added.
The plaza was packed with hundreds of Diwali-eve shoppers when the encounter took place, sources said.
Witnesses alleged that private security guards deployed at the spot 'disappeared' during the encounter.
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