Officials said the rocket exploded early on Friday near the parking lot of a media accreditation building next to the German embassy and across the street from the US military headquarters.
"It was a rocket. There were no casualties. It came from south of Kabul," the capital's police chief General Babajan said.
A spokesman for Nato peacekeepers, Lieutenant Commander Ken McKillip said that initial reports suggested two rockets hit the capital, but one did not explode.
Police and troops blocked the roads to the site.
Several embassies, the Nato international security force headquarters and the United Nations compound are in the same area of the city.
Afghans vote on Saturday in landmark presidential elections, which those loyal to the Taliban – driven out of Kabul by US-led forces in end 2001 - have vowed to disrupt.
US-backed Afghan interim President Hamid Karzai is widely expected to win the election against 17 other candidates.