Authorities said he was expected in court for a mention of some of his probe cases when the incident happened.
Officials who were on duty said they realized Wanjala is missing at 7 am as they were conducting a roll call.
He is said to have escaped unknown time on Tuesday night or Wednesday morning.
Wanjala was yet to take a formal plea into his alleged murder probe.
Police said they had so far linked him to up to 14 murder incidents spanning from Nairobi, Machakos and western Kenya.
Following the developments of his escape from custody, senior police officers visited the station in an effort to understand what happened.
Deputy Nairobi police boss James Mugera led the operation.
The self-confessed ‘vampire’ killer was detained for 30 days as police investigated more than eight child killings.
Police said the number of victims probably would rise to 13, almost all boys.
They expanded the search to Nairobi, Bungoma, Kiambu and Machakos counties.
Wanjala’s accomplices have been identified and are being traced.
Wanjala had appeared before Makadara chief magistrate Angello Kithinji when police said they needed more time to complete investigations.
Wanjala was arrested in mid-July and led police to crime scenes.
He said he drugged young boys and sometimes drank their blood.