Police said the woman detonated an explosive device on Wednesday while she was being frisked on her way into the station.
The police station is near the prime minister's official residence and across the road from the US and British embassies.
It is the first such attack since a truce signed two years ago with Tamil Tiger rebels.
"About five people have died inside the police station," said one police officer. A total of 11 were wounded, police said.
Broken glass and blood covered the floor of the station, which was under heavy guard, witnesses said.
"I saw many people being pulled out with injuries, including one with no arm," said one witness.
The director of Colombo's National Hospital said 13 people had been brought in for treatment, of whom four had died.
"We have not been informed of any more people coming. These people here are not critical," Hector Weerasinghe said of the nine wounded being treated in his hospital. Six were police officers, he said.
"The Liberation Tigers of Tamil Eelam (LTTE) has denied involvement in today's attack"
Sri Lankan President Chandrika Kumaratunga
Local radio said four of the five dead were police officers.
Denial by Tamil Tigers
Tamil Tiger rebels have denied any hand in Wednesday's suicide bombing that killed policemen and were committed to abiding by an Oslo-brokered truce, President Chandrika Kumaratunga said.
She told state television that the Liberation Tigers of Tamil Eelam (LTTE) made the denial through peace broker Norway and promised to uphold the ceasefire that is in place since February 2002.
"The LTTE has denied involvement in today's attack," Kumaratunga said. "We have to investigate the truth about it, but the LTTE said even after the incident today that they will abide by the ceasefire."
Kumaratunga said she would not allow the bombing at a police station opposite the US and British diplomatic missions to derail the Norwegian-backed peace process which remains on hold since April last year.
Tamil Tigers have been fighting
for independence from Sri Lanka
"We can't allow one or two incidents to reverse the peace process," Kumaratunga said. She added that if the Tigers were responsible for the bombing, it would be a violation of the truce.
Norway has been trying to revive talks between the Tigers and Kumaratunga's new government which took office following parliamentary elections in April.
Kumaratunga dismissed the previous government of premier Ranil Wickremesinghe after accusing it of conceding too much to the rebels, but in Wednesday's broadcast she accused the former administration of "deceiving" the Tigers.