Colorado authorities have arrested a suspect after a man nonchalantly walked into a Walmart and immediately opened fire with a handgun, killing two men and a woman Wednesday night.

Thornton police spokesman Victor Avila said Thursday that 47-year-old Scott Ostrem was arrested without incident after a brief chase that started at a Thornton apartment.

Avila said police received an anonymous tip that led them to the apartment, which is about eight kilometres from the Walmart store where the shooting occurred.

Police took Ostrem into custody after his car was blocked by traffic at an intersection. Avila declined to say if Ostrem was armed.

"This is a very heinous act," Avila said in an earlier statement, adding that the motive was unknown.

The two male victims died inside the Walmart, which is about 16 kilometres north of Denver in a busy shopping centre. The woman died later at a hospital.

Authorities did not immediately release any other information about the victims.

'Let's go. Leave the groceries.'

Aaron Stephens, 44, was in the self-checkout line when he heard a single shot followed by two more bursts of gunfire before people started running for the exits.

"The employees started screaming. Customers were screaming. They were running like crazy, and I ran out too because I didn't want to get killed," he said.

Shopper Patrick Carnes is moved from the Walmart by SWAT medics. (Rick Wilking/Reuters)

Guadalupe Perez was inside the store with her young son when she heard what she thought was a balloon popping. A Walmart employee told her someone was shooting, and then Perez saw people running away yelling, "Let's go. Let's go. Leave the groceries."

"You see all these things in the news and you go through it, it's scary," she said. "But thank God we're OK and nothing happened to us."

Investigators, including special agents with the Bureau of Alcohol, Tobacco, Firearms and Explosives, were reviewing security video and interviewing witnesses. Avila said police don't yet know how many rounds were fired.

Ragan Dickens, a Walmart spokesman, said the company is working with investigators.