One of them was on his day off and the other reported sick to the Judicial Police of Mexico City.
Mexico's governmental human rights commission recommended that prosecutors open criminal investigations into the deaths.
Police were on their way to break up a big crowd when gunfire erupted.
Most were involved in ticket resales.
Police Sgt. Javier Salazar says investigators believe the body was taken between the end of the funeral at 1:30 p.m. and when the mortuary was locked up at 4:30 p.m.
English06/06/2015
Bomb attack in Mexico City
A small explosive was thrown against federal offices.