Malmö police confirmed that the shot hit a window in the building, in the busy night life and residential area of Davidshall in central Malmö, but said that the bullet did not penetrate the pane.
The shot, or shots, were fired at around 8pm on Sunday evening.
“It was the station officer who heard the crash. After an hour he discovered the damage to the window,” said Peter Martinsson at Malmö police.
The police suspect that the shot was fired with a low calibre weapon from a distance.
The incident was not connected to any form of threat issued against the station, police confirmed.
Police officers checked cars parked in the vicinity and several streets were cordoned off while people living in the area were escorted in and out of their homes, according to local newspaper Sydsvenskan.
Police cordons around the building were removed later in the evening.