The shot did not hit anybody, police said, but one person was injured and taken to hospital after apparently being hit by a rock.
The concert was part of a larger conference being held this Easter weekend by the Eritrean youth group, Young People's Front for Democracy and Justice (YPFDJ).
Among the guests invited to participate in the controversial event is President Isaias Afewerki's closest aide, Yemane Gebreab.
According to YPFDJ, some 800 exile Eritreans were expected to attend the meeting, which is taking place at the Scandic Hotel Infra City in Upplands Väsby, north of Stockholm, between April 5th and April 9th.
On Saturday night, the group organized a concert at the Husby Träff venue in the north-west Stockholm suburb Husby.
There some 50 critics of the Eritrean government tried to get inside the building but were refused access.
Meanwhile, local youths gathered outside the venue and began throwing stones at the police. Police said some of the demonstrators also joined in.
“They took the opportunity to throw stones with no other motive than to cause trouble,” said police spokeswoman Marie-Louise Nilsson.
With police at the scene feeling under increasing threat, a warning shot was fired.
Amid the ensuing commotion, one person fell to the ground and was injured.
“We haven't been able to speak to the person at the hospital so we're not really sure what happened. We have received information that it may have been a parent from a volunteer street patrol group who was hit by a stone,” said Nilsson.
The main group of stone throwers left the scene after police fired their warning shot, while twelve of the demonstrators were taken by bus to Norrtälje, some 65 kilometres away, in order to keep them out of Husby until the concert was over.