Two men each fired shots at the 36-year-old on the Amagerfælledvej road on Tuesday evening. He later died from his injuries. The victim has been confirmed by police to be connected to organised crime.
The suspects fled the scene in by car. The vehicle was later found in the outer district of Brøndby, having been set on fire.
Deputy chief inspector of Copenhagen Police's organised crime unit Torben Svarrer said the victim had been hit by several shots.
The incident is thought to have begun at a parking lot, with the two men subsequently chasing the 36-year-old on foot.
Svarrer added that other individuals may also have been involved in the shooting.