We report on the occurrence of extreme events (EEs) in the polarization dynamics of vertical cavity surface emitting lasers with optical feedback. We have identified two types of EEs based on numerical simulations: vectorial and scalar events corresponding, respectively, to the emission of a high-power pulse in both linear polarizations simultaneously and in single linear polarization. We show that these two types of events follow the typical statistics of rogue waves. Finally, we observe that an emission in both polarizations leads to a larger generation rate of EEs with a saturation over a wide range of feedback strength by comparison to a single-polarization mode emission