Police claim the attack on Kalonzo Musyoka's Karen residence was fabricated but the Wiper leader has refused to comment.
A senior officer told The Star the NASA principal called them early in the morning claiming his house was being attacked.
When the officers arrived at the Nairobi residence, they found the former vice president standing in a blue khaki trouser, socks and shirt.
He held a live bullet and a grenade pin in his hand as he spoke to the police officers, telling them he recovered the items from the people who attacked his home.
The Wiper leader said he heard a loud bang before recovering the items.
After claims that his security detail was withdrawn on January 30, officers gave Kalonzo two armed bodyguards to protect him.
The bodyguards, in an interview, said they heard a loud bang but noted that it was not at the Wiper leader's residence.
They said the bang was in the neighbourhood, contradicting what Kalonzo told police earlier.
The bodyguards also said they had not recovered anything from the compound.
Bomb Squad Unit head Eliud Langat, the DCI's Nicholas Kamwende and other top police officers led the investigation. They said on Tuesday that they were yet to recover spent cartridges at the home.
Kalonzo refused to give his remarks on the incident saying police should be allowed to do their work.
Addressing the press when his colleague Moses Wetang'ula visited him, he said: "Wetang'ula is the one supposed to comment. There is heavy police presence here."
He added: "Allow me not to say anything since police are here. Let them deal with this. Raila and Mudavadi will be here by 11am."
Read: Gunmen attack Kalonzo's Karen residence
The alleged attack came a day after the NASA co-principal skipped Raila Odinga's 'swearing in' at Uhuru Park.
Kalonzo on Tuesday told the media that their security detail had been withdrawn, hence his absence.
Also read: NASA principals hold impromptu talks on TV switch-off
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Story updated