"We never meant to attack but they started opening fire on us. We only retaliated for half an hour when we decided to move towards their base," he said.
"We're moving slowly, we have to be wary of collateral damage."
Shooting broke out after hundreds of protestors converged on a barracks, complaining about abuses by the national police.
Police used stun grenades to disperse demonstrators.
Three civilians were wounded in the fighting, Claude Rakotondranja, president of the Madagascar Red Cross, said.
Madagascar has been unstable since Andry Rajoelina, the country's president, led a coup in March 2009. The former disk jockey toppled Marc Ravalomanana with the army's support.
The past year's political instability has dramatically slowed economic growth.
International mediation involving the current leadership and three former presidents has not produced results.
Segments of the army have become increasingly disillusioned with Rajoelina's rule.