Four people were killed when a gunman opened fire at a Finnish shopping mall today, police said, in the country's third multiple shooting incident in as many years.

A 43-year-old suspect, Ibrahim Shkupolli, was still at large and considered armed and dangerous, they said in a statement. The victims of the attack, staged in the town of Espoo near Helsinki as shoppers stocked up for the New Year holiday, were three men and a woman, they added.

National newspaper Helsingin Sanomat reported on its website that a fifth victim, which it identified as the suspect's ex-wife, had been found dead in an Espoo apartment.

Finland was rocked by two school shootings in 2007 and 2008, after which it tightened gun control regulations.

A Reuters reporter at the Sello Mall in Espoo saw helicopters overhead and fire trucks around the entrances of the shopping centre, which was now closed.

"When we were going out I heard sounds like shots from the third floor, and then I left," said a mall employee, who declined to give her name.

"I paid for my groceries and I wanted to go to my car when I was told that you cannot go there," shopper Jorma Romo told Reuters outside of the mall. "They were hurrying people out and people were asking (why)."

Ilta-Sanomat newspaper said on its website that at least seven shots were fired, but gave no source for the information.