The central train station in the city was evacuated and the bomb squad called after the man shouted he had a bomb, according to witnesses. Video footage from the scene shows at least four police officers pinning a man to the ground outside Central Station, with others standing guard. Armed police in helmets were also outside the station.
At least two police cars and one ambulance were at the scene.
The man is being treated by emergency services.
The station in downtown Malmo, a major hub for regional rail traffic, was evacuated in the wake of incident. There were no other injuries reported apart from the man fire upon.
A police spokesman said its bomb squad had been called to the scene to investigate the area, adding it was too early to say whether the event was terror-related or not.