The attempted robbery took place on Tuesday morning in Kungsbacka when three people tried to rob a Forex exchange bureau.
Photos in the Aftonbladet newspaper suggest the would-be thieves used a front-loader tractor to break through the exterior wall of the building.
Police said the suspects, who are believed to be carrying automatic weapons, escaped empty handed.
The trio then escaped in a grey BMW with German licence plates. Witnesses told the paper that the escape vehicle was driving at speeds of up to 200 kilometres an hour, with police in hot pursuit.
Police deployed a helicopter to help chase the suspects. Shortly after 4pm, police discovered that the car was torched by the side of the road.
There have been a number of high profile robbery attempts in Sweden recently. Stockholm was hit by heists in October and September, both causing major headaches for commuters and police alike. In each of the cases, the suspects left ticking packages that had to be destroyed by bomb squads.
Bank robberies are rare in Sweden. In the beginning of the nineties, there were over 100 per year – topped off by 153 in 1991 alone. Since then, the numbers have dropped considerably, with the exception of 2008 when there were 110 robberies. After 2008, there have been only around ten each year across the country. 2012 saw only five, a record low.