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I thought those could be purchased at police supply shops or online.

Apparently it requires a firearm license:

TRANSACTIONS IN EXPLOSIVE-TYPE DESTRUCTIVE DEVICES

ATF has been asked about the controls on firearms which also contain explosives, such as ‘flash-bang’ grenades. Firearms of this type are subject to the Gun Control Act (GCA)(Title 18, U.S.C., Chapter 44), the National Firearms Act (NFA)(Title 26, U.S.C., Chapter 53), and the Federal Explosives laws (Title 18, U.S.C., Chapter 40). Provisions of the Arms Export Control Act may also apply.

In both the GCA and the NFA, a firearm is defined to include a destructive device. A destructive device is further defined (in part) as:

(a) any explosive, incendiary, or poison gas (1) bomb, (2) grenade, (3) rocket having a propellant charge of more than 4 ounces, (4) missile having an explosive or incendiary charge of more than one-quarter ounce, (5) mine, or (6) similar device;

Accordingly, this type of destructive device is not only a firearm but is also an explosive subject to all explosives regulatory provisions including specific storage, distance, licensing, and other requirements.

While there is a general exemption under the Federal explosives laws for work performed under Government contract, if you are in the business of importing, manufacturing, or dealing in explosive-type destructive devices, you will need the appropriate firearms and explosives licenses or permit and special (occupational) tax (SOT) under the NFA. If your activity is being conducted under a United States Government contract, you may apply for an exemption from the SOT.

If you import explosive-type destructive devices, you must:

Have a Federal firearms license (FFL) as an importer of destructive devices, ammunition for destructive devices, or armor piercing ammunition (Type 11)
Pay the SOT as an importer of firearms (Class 1)
Have a license as an importer of explosives unless the activity is in performance of a government contract
Register under the Arms Export Control Act as an importer

If you manufacture the explosives to be used in the manufacture of explosive-type destructive devices, you must:

Have a Federal firearms license (FFL) as a manufacturer of destructive devices, ammunition for destructive devices, or armor piercing ammunition (Type 10)
Pay the SOT as a manufacturer of firearms (Class 2)
Have a license as a manufacturer of explosives unless the activity is in performance of a government contract.

If you acquire the explosives to be used in the manufacture of explosive-type destructive devices, you must:

Have a Federal firearms license (FFL) as a manufacturer of destructive devices, ammunition for destructive devices or armor piercing ammunition (Type 10)
Pay the SOT as a manufacturer of firearms (Class 2)
Have a license as a dealer in explosives unless the activity is in performance of a Government contract.

If you deal in explosive-type destructive devices, you must:

Have a Federal firearms license (FFL) as a dealer or manufacturer in destructive devices (Type 09/Type 10)
Pay the SOT as a dealer or manufacturer in firearms (Class 3/Class 2)
Have a license as a dealer in explosives unless the activity is in performance of a Government contract

In limited circumstances, a person could acquire explosive-type destructive devices by having a permit as a user of high explosives. The acquisition would only be for the person’s own business use or interstate transport.