"I also noticed a videotape lying on the ground and went round to see the video shop had been broken into."
Mr McKenna said he was angry burglars had targeted an emergency service.
"Fire stations shouldn't need [alarms], we're an emergency rescue outfit and shouldn't need an alarm system in this station. One day they just might need us."
Mr McKenna said the brigade stopped keeping cash in the bar after the fire station was broken into a year ago.
Offenders also broke a window into a flat, used as an office, behind the station.
Star Movies manager Carol Bradley got a call from police about 4.10am telling her of the break-in.
"They said the store had been broken into, a rock had come through the window and there were DVDs outside."
She said more than 50 DVDs and a DVD player were stolen from the store, but no cash.
"I feel like they've intruded on my privacy."
Gusto Cafe and Bakery manager Gina Richards said it was the second time the store, owned by Trust House, had been broken into.
"I arrived to work this morning at two minutes past four and the back door was completely open." She called police and went inside to find that thieves had disconnected the power in the building, she believes to disable the alarm, and smashed a window at the back to get in.
"I rang the police when I worked out what had happened. They had made a big mess, took the float of $250, two buckets of ham and a tub of margarine and a few drinks."
Ms Richards said the burglars also stole her red washing basket, which she wants people to keep an eye out for.
Featherston Station's ticket office was also broken into and police say train tickets were stolen.
Masterton police Senior Sergeant Carolyn Watson said police were investigating whether all four break-ins were linked.
"We're looking into the possibility that they are connected, but it's too early to say."
Police had also not ruled out the possibility that the burglaries were linked to the break-ins and vandalism of Greytown cafes about a fortnight ago.