Two Swedish men aged 21 and 23 years were killed in the incident, Copenhagen West Police confirmed on Thursday.
The men were shot at least ten times and several weapons were used, probably including both pistols and automatic weapons.
The crime took place on the Sennepshaven road in Herlev, around 12 kilometres northwest of central Copenhagen. The shooters fled the scene in a silver-grey Audi S4, which was later found at Nærum, an area further north.
Attempts had been made to set fire to the getaway vehicle.
Police said on Thursday they did not wish to reveal further information as to the identity of the two victims, citing the need to protect the ongoing investigation.
Swedish daily Expressen has previously reported that the 23-year-old was a leading member of a gang known as ‘Snottaz’ from the Rinkeby neighbourhood in Stockholm. The other man was from Tensta, also near the Swedish capital, according to the newspaper.
Danish police are working together with colleagues in Sweden on the investigation.
“We need to remain cautious about releasing information on this case out of consideration for the ongoing investigation, which is wide-ranging and involves a number of Danish police districts and Swedish police,” superintendent Flemming Madsen of Copenhagen West Police said.