The man in his 40s died from his injuries. Another woman of the same age was injured, according to Vice Police Inspector Lasse Michelsen.
According to the police, the woman had walked past the crime scene and was injured in the attack on the man.
Both victims are Danish citizens, said Michelsen.
A large police operation was underway at the scene during the afternoon and evening. The police believe it is a lone perpetrator. However, no one had been arrested, suspected of the crime, on Thursday evening.
The shooting in Nørrebro was the third in a short time in Copenhagen. About a week ago, shots were fired without anyone being injured, and on Monday afternoon, a person was injured in a shooting near Frederiksberg Centre.
The police and forensic technicians have also investigated suspected shootings at buildings over the weekend.
In recent times, several Swedish teenagers have been arrested, suspected of involvement in attempted murder in Denmark, and the Danish police have described how young Swedes are being recruited to commit violent crimes in Denmark.
