Officers were called to the scene at Rågsved on the Stockholm metro's green line in the early hours of Tuesday after several witnesses reported they saw at least one person shoot at several people.
But when police arrived just after 1am they found neither the gunmen nor a victim.
“We found bullet holes in a wall and empty shells. But no victim has made themselves known to us,” police spokesperson Carina Skagerlind told the TT news agency on Tuesday morning.
Forensic teams examined the scene overnight and police said they would spend the day collecting witness statements.
“There are several witnesses and we're going to talk to them about what they have seen. We're also going to go through surveillance camera footage of the site,” said Skagerlind.
An unnamed witness who were in the area to deliver newspapers told the Aftonbladet tabloid he has seen a Porsche drive up and park next to his car outside the station.
“There were several people in it. I looked at them and they looked at me. It felt fishy,” he said.
As soon as he had entered the station he heard the sound of several gunshots and threw himself on the floor to escape the bullets.
“It was completely insane. It was as if they were waiting for me to go inside so that I wouldn't get shot.”
Rågsved, while usually calm, was one of the Stockholm suburbs affected by riots and car-burning in 2013.