Masten Wanjala was due to appear in court on Wednesday over the murders of at least 14 boys in the capital, and areas of eastern and western Kenya.
Police say they noticed he had disappeared during the morning roll call.
He was being detained during police investigations into the series of child killings that shocked the nation.
Three police officers who were on duty at the time of his escape from Jogoo Road police station, in the Eastlands area of Nairobi, have been arrested.
Authorities have launched a hunt for the man they have described as extremely dangerous.
Mr. Wanjala was apprehended in July and admitted to drugging and murdering the young boys, as well as consuming their blood in certain cases.