It was the first such mishap in the Jones Beach fireworks show's 14-year history, said George Gorman, deputy regional director for the state parks.
Beachcombers, parks staffers and lifeguards spotted the errant explosives, some of which measured 8 inches in diameter, he said.
Police scrutinized the sand and water from all-terrain vehicles, boats and helicopters. They dug into garbage cans to make sure no explosives had been picked up and thrown out.
The Wantagh beach was to remain closed until sunrise Sunday as authorities continued searching for any remaining fireworks. None had exploded, and no one had been hurt, Gorman said.
The shells apparently stemmed from Friday night's show, launched from an offshore barge by Farmingdale-based Bay Fireworks.
President Charlie Rappa said the company takes care to keep track of shells that don't fire, and he was unsure how any could have bobbed to the beach. The show, which drew about 140,000 onlookers, went off normally, he said.
In years of overseeing fireworks displays at Jones Beach and elsewhere, "I've never seen an anomaly like this," he said.
After hours of soaking in the Atlantic Ocean, the shells were unlikely to pose any danger, he said.
Police took no chances.
"If they were to dry out and there was a spark, they could go off," park police Sgt. Tony Astacio told Newsday.
About 30 miles from Manhattan, Jones Beach State Park is a popular summer haven for New York City residents and Long Islanders. It drew a record 506,000 people over the three-day Memorial Day weekend, but the July Fourth weekend has been rainy.