The man was shot while sitting in his vehicle in Frederiksberg at around 11pm on Thursday. He was hit in the head and in the side of the body by shots fired from outside of a nearby residence.
The victim also fired shots from his vehicle, police said.
“We are working to put the puzzle together. As of now, we can see that there were also shots fired from the injured party's car toward another car that drove away,” police spokesman Kenneth Jensen told Ritzau before the victim had died from his wounds at hospital.
As of 9.30am on Friday, police had not publicly identified the victim.
Two suspects have been arrested, a 16-year-old boy and a 25-year-old man. Both are scheduled to make a preliminary court appearance at 12pm on Friday.
Police on Friday morning had not confirmed that the shooting was gang-related, but there have been a number of recent violent clashes between two rival gangs, Loyal to Familia and Black Jackets.