Witnesses reported hearing 20 gunshots as a football derby was taking place about 7pm local time.
She added that the cause of the blast remains unclear.
A police spokesperson later told Sydsvenska Dagbladet that the incident, which took place in a mainly immigrant neighbourhood of Sweden's third largest city, was being investigated as a case of aggravated assault or attempted murder.
A Malmo police statement said the victim was shot in the leg and taken to a local hospital.
The condition of the victims is unknown, however one person is understood to have suffered a head injury.
Many of the attacks were claimed by the Islamic State.
Reports of a possible explosion in Malmo follow the news that a suspicious device was blown up outside a school in the city of Gotherburng earlier in the day.
The impact smashed several windows, although it is unclear whether anyone was injured.
Keep up to date with the latest stadium news by following @stadiumguide on Twitter (all updates) or liking our Facebook page (occasional updates).
It is not yet known if the two incidents are linked.
It comes two days after an unidentified assailant shot and wounded a man in a shopping mall in the same city.
Witnesses reported hearing 20 gunshots fired in bursts of three during a football derby at around 7pm local time between Malmö FF and Helsingborgs IF on Sunday.
Like the country’s other major cities, Malmo has seen a rise in gun violence in the past decade, often connected to feuds between rival gangs, Associated Press reported.
She said: “A young man had died from the injuries.”
However police at the scene of the reported blast site have not confirmed if anything suspicious was found or if an explosion occurred.
Emergency crews are currently at the scene, while residents have been ordered to stay indoors.
One eyewitness claimed the shots were fired by people in an Audi which drove off at high speed.
Tickets can also be bought at the ticket windows at the stadium on the day of the match. Malmö only sell out the occasional high-profile match.
4 injured In Malmo Sweden Shooting https://t.co/KqBVXBxdB6 pic.twitter.com/U5LRnN4PXO via @AmichaiStein1
Other witnesses told Sweden’s Expressen newspaper the shots were fired in bursts of three rounds.
“Because it happened during a football derby between Malmö FF and Helsingborgs IF in town, there are many policemen on duty in Malmo tonight.”
The unrest comes as Swedish police have now labelled 55 areas as “no-go zones” as they continue to struggle with increasing levels of crime and violence.
Swedbank Stadion is located about 3 kilometres south of Malmö’s city centre and Malmö’s main railway station.
A NOTE ABOUT RELEVANT ADVERTISING: We collect information about the content (including ads) you use across this site and use it to make both advertising and content more relevant to you on our network and other sites.Find out more about our policy and your choices, including how to opt-out.
Swedish police are treating the shooting as attempted murder.
Armed officers descended on an employment office in the German city today after witnesses reported seeing a gunwoman inside it
SWEDEN remains on high alert after four people were injured in a shooting which rocked the city of Malmo.
If arriving by public transport, take bus 3 from the main railway station in the direction of Malmö Värnhem. Get off at stop Malmö Stadion. The ride takes about 12 minutes.
Locals in Sunnyside Road, Islington, have claimed that a man received CPR in the street before being taken to hospital where he was later pronounced dead
A police helicopter in the area for the football match was deployed to search for the suspects.
Nordic News reported there are no indications the shooting is terror related and stressed there has been no confirmation a blast had even taken place.
They said the attack had nothing to do with recent Islamist militant violence elsewhere in Europe.
You know more than us, so help people out by sharing your experiences.
Construction of the Swedbank Stadion was completed in early 2009 and it officially opened on the 13th of April with a league match between Malmö and Örgryte (3-0). The costs of construction had been SEK 695 million.
The gunmen fled the scene while four people were taken to hospital with gunshot wounds, Fox News reported.
Europe has been shaken by a series of violent attacks on civilians in Germany, France and Belgium over the past 18 months by men of Middle Eastern or Asian origin.
Swedbank Stadion lies in a mainly residential area. It is bordered by a large park and surrounded by other sports facilities, among which Malmö’s old stadium that is still in use for athletics events.
Read More Moment armed police free nun used as human shield by terrorists who cut priest's throat
XHTML: You can use these tags: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>
Malmo has been struck by a series of car fires, which are also believed to have spread across to Denmark.