A bullet hole across the road from where a policeman was shot at shows how lucky he and members of the public were to avoid serious injury, police say.

The white mark can be seen about eight metres above the footpath on a wall on Mayoral Drive in downtown Auckland.

The policeman fired upon outside the Primo club early on Friday escaped with burns to his forearm.

Police are still looking for the alleged gunman, Tribesman member Murray Toleafoa, and his associate Nadia Ball.

"While the police officer is lucky to be alive, it could have been any passer-by, whether walking or driving, near the vehicle when the shot was fired who also could have been shot," Detective Inspector Scott Beard says.

"We're talking about a dangerous person out here who we have not yet found."

Police have not located the weapon, believed to be similar to a police Glock pistol, but they found a loaded bullet magazine near where the car was found in suburban Mt Eden.

Det Insp Beard said police had not spoken to anyone who said they had seen Toleafoa since the shooting.

He warned family and friends against assisting the fugitive.

"If you are assisting him, we will look at a criminal investigation against you and possible prosecution."

He said the officer involved was on some days off and was receiving counselling.