Officers were called to the shop on Oxford Street in Cambridge Park, near Penrith, after reports of an assault about 9.40am on Saturday.
The couple, aged in their 60s, were found with "significant injuries" after a member of the public alerted police.
Detective Superintendent Michael Cantrell said officers arrived to a "confronting scene".
"Obviously the welfare of our officers is being addressed, and we have systems in place for that," he told reporters in Sydney on Saturday.
Supt Cantrell said footage possibly relating to the incident has been posted on social media.
"I'm aware that there is footage around, and it's been through social media, and we're looking into that and looking at all lines of inquiry," he said.
A male could be seen in the "vicinity" in the footage but police maintain there is no threat to the public.
The bodies have not yet been formally identified.
Supt Cantrell said police were contacted by a family member following the discovery.
"The family are obviously devastated," he added.
"They are assisting police."
A crime scene has been established and police, including homicide squad detectives, are investigating.
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