Authorities said the suspects in the killing of Michael Morgan, 32, were captured in Philadelphia.
They have not been formally charged but have been arrested in Morgan's killing, officials told The (Newark) Star-Ledger Wednesday.
Police said Morgan was the last officer to leave the Sunrise Gentleman's Lounge in Paterson, N.J., after the party.
When Morgan and a dancer from the club walked outside about 3 a.m. Monday, a man in his 20s approached them and tried to rob them at gunpoint, police said.
Morgan tried to draw his weapon to stop the robbery, but was shot once in the torso. He was taken to St. Joseph's Regional Medical Center in Paterson, less than a block away, where he died about an hour later, police said.
The dancer was not injured.