Gunfire in a Copenhagen mall Sunday left several dead and several wounded, Danish police said, adding they had arrested one person in his twenties.

Images from the scene showed parents carrying their children as they fled the building and ambulance personnel carrying people away on stretchers.

"We now know that there are several dead," Copenhagen police chief Soren Thomassen told a Sunday evening news conference, adding that there were also several wounded.

Thomassen described the apprehended suspect, as a 22-year-old "ethnic Dane", but said it was too early to establish a motive.

"We investigate it as an act, where we can't exclude, that it's terror," the police chief said.

They had no indication that the man had acted together with others, and police were maintaining an increased presence both around the shopping mall and across Copenhagen, he added.

The attack occurred two days after this year's Tour de France cycling competition started from Copenhagen, and the Tour organisers released a statement expressing their sympathy.

"The entire caravan of the Tour de France sends its sincerest condolences to the victims and their families," it said.

Witnesses quoted by the Danish media described how the suspect had tried to trick people by saying his weapon was a fake one, to get them to approach.

"He was sufficiently psychopathic to go and hunt people, but he wasn't running," one witness told DR state television.

Other eyewitnesses told Danish media they had seen more than 100 people rush towards the mall's exit as the first shots were fired.

"We could see that many people suddenly ran towards the exit and then we heard a bang," Thea Schmidt, who was in the mall at time of the attack told broadcaster TV2. "Then we ran out of Field's too."

Police had urged people in the building to wait inside for their arrival, calling on others to keep away from the area.

Police also asked witnesses to get in touch with them and called on those who had been visiting the shopping mall to contact loved ones to reassure them.

"All of a sudden we heard gunshots, I heard 10 shots, and we ran as far as we could to take refuge in the toilet," Isabella told public broadcaster DR. She said she had hidden in the mall for two hours.

Other witnesses described the gunman as a man around 1.8 metres (five feet nine inches) tall carrying a hunting rifle.

At around 7:30 pm (1730 GMT), roads around the mall were blocked, the subway was closed and a helicopter was flying above, said an AFP correspondent at the scene.

Heavily armed police kept onlookers back prevented locals from returning to their homes.

At the nearby Royal Arena, a concert with British singer Harry Styles was scheduled for the evening.

Shortly after the shooting, the organiser announced it would "proceed as planned", but later announced it had been cancelled, following criticism.

"My team and I pray for everyone involved in the Copenhagen shopping mall shooting. I am shocked," Styles said in a Snapchat post.

The shooting comes just over a week after a gunman opened fire near a gay bar in Oslo in neighbouring Norway, killing two people and wounding 21 others.

In February of 2015, two people were killed and five injured in Copenhagen in a series Islamist-motivated shootings.