Police said in a statement that three Molotov cocktails caused unspecified damage to the station in the early hours of Tuesday but nobody was hurt. They reinforced patrols to guarantee residents' safety, Reuters reported.
Police said their investigation could not establish any links to a rally in central Lisbon on Monday night, which followed a police raid on a slum in Seixal, on the outskirts of the capital south of the Tagus River. Setubal is about 50 kilometers south of Lisbon.
On Sunday police responding to a call about a brawl between two women entered the Jamaican neighborhood in Seixal, where mostly black local residents allegedly greeted them with a hail of stones.
A video published on the internet showed police officers beating up several black men. Four local residents and one police officer were lightly injured and treated in hospital. One person was arrested.
Rights group SOS Racismo said the police response was unjustified and requested that the prosecutor's office open an investigation.
On Monday night, about two hundred mostly black protesters blocked Lisbon's Avenida da Liberdade thoroughfare, chanting "Down with racism!". Stones were thrown at police officers who dispersed the rally.
Police said on Tuesday that one person was arrested on suspicion of torching four vehicles and a dozen garbage cans on Monday night in greater Lisbon's Odivelas district.
There are several poor neighborhoods on the outskirts of Lisbon where immigrants mostly from Portugal's African ex-colonies live.
Race-related violence is rare in Portugal but in one incident in 2015 18 police officers were charged with crimes motivated by racism.