The 44-year-old is being held on suspicion of gross illegal threats after the incident which took place on Monday.
Police rushed to the station after reports of a man behaving in a threatening way, and witnesses said the suspect had thrown a sports bag on the ground and shouted in an accented English that he had a bomb.
The station itself and surrounding area were cordoned off for several hours while a bomb squad carried out a technical investigation, but police later confirmed no explosives had been found in the man's bags.
Malmö's District Court decided on Thursday that the 44-year-old should undergo an examination conducted by a forensic psychiatrist, Sydsvenskan reported.
Earlier in the week, chief prosecutor Pär Andersson told the TT newswire: “One can assume that he isn't completely well mentally.”
The man's identity has been confirmed as an Italian citizen, after Swedish police worked with police in other countries to identify him. He had been carrying several different identity documents in his belongings.
Police said on Tuesday the man was not known to police before Monday's incident, but had worked at a company which police had been in contact with.