The cause was not immediately clear, nor if there were casualties.
The Red Cross and emergency officials confirmed the blast at the police headquarters that is opposite a school.
A man working in the Jimeta neighborhood says it was so powerful it blew out windows of buildings for blocks. He spoke on condition of anonymity because he fears police reprisals.
It was unclear if it might be linked to Boko Haram extremists who have attacked the city many times. Suicide bombings in Yola in October and November at a truckers’ station and the main mosque killed 64 people and wounded about 180.
Update February 26, 2016: As confirmed form various news sources four people died in the bomb blast that hit police headquarters.