The attack, at Warrenpoint station, happened in the early hours of Sunday.
Officers returning from patrol at about 03:30 GMT, found that a petrol bomb had been thrown over the perimeter wall into the yard of the station.
It had smashed, but failed to ignite, and caused minor damage to a car parked in the yard.
Insp Colin Patterson said: "We will be viewing footage from the station security cameras, but I would also like to appeal to anyone who noticed any suspicious activity in the vicinity of the police station or who has any information to contact officers in Warrenpoint on 101."
SDLP MP Margaret Ritchie said it was "a cowardly attack".
"This attack represents a very clear attempt by an extreme minority to return south Down to the past," she said.

The three ministers will use 17th century Chevening House, in Kent, when they entertain foreign dignitaries.
Under the previous government it was shared by William Hague with deputy prime minister Nick Clegg.
It has been used since the 1980s as a country retreat and to host international visitors.
Mr Davis, the Brexit Secretary, International Trade Secretary Mr Fox and Mr Johnson were appointed by new Prime Minister Theresa May last week.
All three campaigned for the UK to leave the EU, and will have key roles as the UK negotiates its departure.
Asked why Mrs May had decided the foreign secretary should share his country retreat with two colleagues, the PM's official spokeswoman said: "It reflects the fact that all those secretaries of state will, as part of their work, be meeting and engaging with and hosting foreign visitors and leaders and it will provide an opportunity to do that."
It has also been confirmed Mrs May will live in the flat above 11 Downing Street while Chancellor Philip Hammond moves into the Number 10 flat, continuing a recent tradition established by Tony Blair and continued by Gordon Brown and David  Cameron.
Meanwhile, Mr Johnson has stopped his weekly Daily Telegraph column now he has been appointed foreign secretary.
The ex-London mayor was paid just under Â£30,000 a month for the column.
His spokesman said it "would not be appropriate" for it continue given his new role.
Publication of his book on William Shakespeare has been postponed.
A petrol bomb has been thrown at a police station in County Down.
[NEXT_CONCEPT]
Boris Johnson is to share the foreign secretary's official country residence with Cabinet colleagues David Davis and Liam Fox, Downing Street has announced.