According to the Expressen newspaper, one of the two men was a leading figure in the Shottaz gang, based in and around the troubled Stockholm suburb of Rinkeby.
“Swedish police have been in contact with Danish police since yesterday evening and we have been following the situation and the developments since then,” Mattias Sigfridsson, assistant superintendent of the Malmö Police, told the local Kvällsposten newspaper.
The victims were driving into the northern Copenhagen suburb of Herlev at 5.50pm on Tuesday, when their car was hit by a rain of bullets, which police believe came from an automatic rifle and a pistol.
One of the two men was killed immediately while the second died later in the evening in hospital. According to Denmark's Ekstra Bladet newspaper a third man, who was also in the car, escaped unscathed.
Three hours after the attack, a car thought to have been used by the attackers was found in the countryside north of Copenhagen.
“We can confirm that we have found the getaway vehicle,” Brian Munck from the Copenhagen Police told Ekstra Bladet.
“We are still at the introductory phase of the investigation and there are still a lot of questions that need answering,” Flemming Madsen, a police inspector with the Danish police, told the newspaper.
“That's why we are on the scene with a large amount of resources in Sennepshaven and Herlev, both to investigate the shooting and also to create a sense of security in the area”
The car had a Swedish licence plate registered to a man who lived in Malmö. But the the car lost its permit to drive on the road on June 1st and police have so far been unable to find a link between the car's owner and the men shot.
Sigfridsson said that the investigation was the responsibility of the Danish police. “Right now we don't see any need to tighten border controls, or any increased risk on our side,” he said.