At least 45 people have been hurt in the clashes
Witnesses said the casualties came when police fired live bullets at the crowd.
Palestinian police stations were attacked by the rioters and at least one was set ablaze.
The police issued a call for all security forces to help quell the street fighting, Palestinian security sources were quoted by the French news agency AFP as saying.
Gag order
The BBC's correspondent in Gaza, Kylie Morris, said media were prevented from reaching and recording the protests, and hospital officials were prevented from speaking to journalists.
It was the first time Palestinians have died in clashes with their own security forces since the beginning of the intifida, or uprising, against Israel.
Some 45 people were hurt in the clashes, including at least 10 policemen. One was shot by masked men inside the Islamic University.
The police have ordered Islamic University and the city's al-Azhar University closed until further notice.
Distancing from Bin Laden
Although it has not yet expressed direct support for the US war against terror in Afghanistan, the Palestinian Authority has been trying to distance itself from Osama Bin Laden, the prime suspect in the 11 September attacks on the United States.
Bin Laden cited Palestine as one of his causes in a defiant videotape broadcast after the US launched air strikes against Afghanistan where he is being sheltered.
But Palestinian Information Minister Yasser Abed Rabbo said the Palestinians did not want their cause to be used as an excuse for terrorist activities around the world.
"We don't want crimes committed in the name of Palestine," Mr Abed Rabbo said on Voice of Palestine radio.
"We have killing every day but that is no excuse to anyone to kill and carry out terrorist acts, like what happened in New York and Washington," he said.
Hamas condemns 'aggression'
A high ranking Hamas official, Ismael Hania, condemned what he called "US aggression against the Afghan nation."
"We see this aggression as the consecration of an international policy of terrorism," said Mr Hania.
He warned that the "international terrorist policy led by the United States... aims at very weak and poor countries, killing Muslims, and will spread to other Muslim and Arab countries."
Meanwhile, Islamic militant leaders say the Palestinian Authority has warned them there would be a tough response if they do not stop their attacks against Israelis.
The Hamas has indicated that it might temporarily abide by the truce with Israel, while Islamic Jihad says it plans to defy the orders, while the larger Hamas faction suggested it would abide by a truce with Israel, at least temporarily.