Stockholm police were alerted to the attempted robbery at 10.32am, and are in the process of gathering CCTV footage as well as interviewing witnesses and securing forensic evidence.
"A single culprit, male, entered the bank with a gun-like object and threatened the staff," police spokeswoman Towe Hägg told The Local.
"The staff were not hurt physically but they are of course in shock."
She said the man left the bank at Östermalmstorg in central Stockholm on foot. Hägg added that it was not unheard of for bank robbers to work alone, rather than in a team.
"While it's the Crime Prevention Council (Brottsförebyggande rådet - Brå) that handles our crime statistics, I perceive that it can be both," Hägg said.
In 2012, 21 bank robberies were reported in Sweden, which was less than half of the reported number of incidents in 2011. It was the lowest level ever measured since statistics started to be kept in 1975, according to Brå.
"Practically all robberies of banks and valuables in transit are reported to the police," wrote Brå on its website, stating that for other types of robbery, including muggings, the report rate was lower. Overall last year, there were over 9,000 robberies.
"About 1 percent of the population of Sweden are victims of robbery every year, as shown by various crime victim surveys," Brå stated on its website.
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"Some population groups that are particularly vulnerable are youths in the big city areas, shop employees and taxi drivers."