The blast occurred at the warehouse at 7:00 a.m. local time (03:00 GMT). The cause of the explosion has yet to be determined.
The city's al-Quoz industrial zone is currently covered with smoke and firefighters and rescue workers are trying to put out the blaze and evacuate nearby schools.
Dubai is one of seven emirates in the United Arab Emirates, and rescue workers from all over the federation have arrived to assist in the rescue effort.
The two people who died in the blaze were believed to be security guards at the warehouse or surrounding buildings, an Interior Ministry official told the website.
Police and rescue workers were also reportedly wearing breathing equipment to protect themselves against poisonous fumes.
The agency also said that the warehouse where the blaze began was "illegal."
