Witnesses on the scene have said that around 12 to 15 shots were fired.
All five were taken to hospital, and police were questioning witnesses after sealing off the area where the shooting took place.
Police are now investigating the attack.
He said there were three to four gang-related conflicts in Malmo and the victims belonged to one of the factions involved. A man reportedly open-fired an automatic weapon at a crowd that was celebrating the win of Swedish national soccer team at the 2018 World Cup.More news: Oil prices fall as U.S. crude production hits another record
Reports of gunfire have emerged from the coastal town of Malmo, Sweden. It has "significant" potential for violence, Chief of the Swedish National Police Dan Eliasson said in January, as cited by The Local.
"We didn't see it coming", he added. He also said that the influx of migrants has badly affected the social and criminal situation in the country.
The shots caused bystanders to scream but police quickly said there was no reason for the public to worry.