Officers believe the incident took place at Harlow Islamic Centre in Road, Essex, between 10.30pm and 4am on Sunday.
No-one is thought to have been hurt.
Chief Inspector Ed Wells said: "Detectives are investigating this concerning incident and there will be a significant police presence to reassure all local residents as we seek to identify those responsible."
The mosque was set up 18 years ago when the Muslim community in Harlow grew in numbers.
It now serves a 2000-strong community, according to the centre's website.
The UK has witnessed a spike in anti-Muslim hate crimes in recent months following the death of Fusilier Lee Rigby outside Woolwich Barracks in May.
Anyone with information on last night's attack is asked to contact detectives at Harlow on 101.