Albanian man Leonard Gjeka, 32, left the Maribyrnong detention centre with New Zealand man Michael Dobson, 51, about 1am on Wednesday, Victoria Police said. Gjeka was waiting to be deported to Albania.

South Australia Police released a statement saying that they were concerned Gjeka, who had an "extensive criminal history" in South Australia, could return to the state.

"His history shows he is capable of extreme violence, including the use of firearms," said Acting Detective Superintendent Steve Taylor, the head of South Australia Police's Serious and Organised Crime branch.

"He has links to organised crime, including outlaw motorcycle gangs, and has also been on the receiving end of violence from these groups," he said.

Acting Superintendent Taylor said they had quickly ensured "those who have history with Mr Gjeka are informed  and protected". He warned anyone who saw Gjeka not to approach him but to call triple zero (000) immediately.

Police believed the pair left the centre's main building on Hampstead Road and met two others at a gate. All four then left the centre through a gate on its south side.

Victoria's Fugitive Taskforce are investigating the escapes with the Department of Immigration after an initial search of the area by local police and a dog squad failed to find the pair.

Gjeka was solidly built and about 180 centimetres tall with brown eyes, black hair and an olive complexion, police said.

Dobson had a medium build with blonde hair and a fair complexion.

People can call triple-0 to report sightings of either man.