"At 4:29 a.m. police on location alerted us about the gunshots," Hanna Berndtsson, Skåne police information officer, told the TT news agency.
No one was physically injured by the shooting.
"There were police officers on the second floor of the building, but the shots were fired towards the first floor, so there were no injuries."
Security at the police station has now been tightened, and a forensic investigation squad is on location to find out what happened.
Thus far the forensic investigation has revealed that live ammunition was used in the shooting, and therefore an attempted murder probe has been initiated, according to the Malmö police force.
At this moment the police have no information about the type of weapon used, or the reason for the shooting.
"We don't know the origins of all this yet," said Hanna Berndtsson.
Rosengård, centrally located in Malmö, is an area commonly associated with social difficulties, and has been the place of several riots and clashes between local youths and authorities in recent years.