Alejandro Garza y Garza, the Nuevo Leon attorney-general, said that all six officers confessed to being involved in the killing.
However, when paraded in front of the media on Friday, the suspects declared their innocence.
Garza y Garza said: "We are still looking for others who were involved as well."
Adrian de la Garza Santos, director of the state investigations agency in Nuevo Leon, said that the group "were employees" of criminal gangs.
Santos said that one of the officers had been paid about 6,000 pesos ($700) per month to co-operate with criminal gangs.
Security cameras taped a group arriving in five 4x4 vehicles at Cavazos' home with the security guard providing little resistance to their presence.
The assailants were then seen leading Cavazos' out of his home at gunpoint and into one of the trunks of the vehicles.
After being found shortly after the kidnapping the guard told authorities that he had also been thrown into a trunk of one of the 4WDs and driven around for 15 minutes before being dumped unharmed by the side of the road, Santos said.
Which gang may have been responsible in Cavazos' case was not indicated by officials.
Cavazos' murder has prompted authorities to call for more patrols by both the army and federal police in Nuevo Leon.
Mauricio Fernandez, the mayor of the town of San Pedro Garza Garcia, near Monterrey, said Cavazos had received death threats from gangs warning him to stay out of their way and had sought advice on how to handle the threats.
Nuevo Leon prosecutors said Cavazos had never informed authorities about any threats.
General Guillermo Moreno, who commands troops in the states of Nuevo Leon and Tamaulipas, said the army had also not received complaints or requests for protection from the mayor.
|Cavazos' body was found four days after he was kidnapped from his home [AFP]
The arrests on Friday came amid increasing incidents of public officials being targeted in Mexico's escalating drug violence.
A leading candidate for governor in the state of Tamaulipas, which borders Nuevo Leon, was shot to death a week before an election last June.
A mayoral candidate in Tamaulipas also was shot in May.
In another development, a federal judge presiding over the case of a former Cancun mayor facing drug-related charges, survived an attack on Thursday in the west-coast state of Nayarit, according to an unnamed federal official.
The assault, which killed one of two bodyguards of Carlos Alberto Elorza, came hours after Felipe Calderon, the Mexican president, proposed appointing anonymous judges for drug-trafficking trials.
Drug violence has killed more than 28,000 people since December 2006, when Calderon started a crackdown on drug gangs, primarily by greatly increasing the troop presence in violence-wracked urban centres.