At least three people have been killed in a shooting near a Walmart store in the US state of Colorado, police sources said.

The shooting in the Denver suburb of Thornton took place on Wednesday evening and left three people dead, including two men who were killed at the scene, and a woman who died later at a hospital after being transported away from the scene by emergency services.

On Thursday, Thorton police said they had arrested a 47-year-old man who was suspected of carrying out the shooting.

The suspect remained at large for several hours, police said.

Investigators were reviewing security footage and interviewing witnesses, the department said on its Twitter page.

Local news outlet, the Denver Post, reported that the sound of gunshots sent people running in fear for their lives at the Walmart store.

It also said that witnesses saw someone being arrested, but it is not clear if that arrest was connected to the shooting.

Gun crime is a regular occurrence in the US and on average 12,000 people die in homicides involving a firearm in the country each year.

Wednesday's shooting comes nearly a month after Stephen Paddock allegedly shot and killed 58 people and injured hundreds more at a country music festival in Las Vegas, Nevada, renewing calls for stricter gun control in the US.

American civilians own more guns per person than civilians in any other country in the world.

Gun rights advocates argue that the right to bear arms is enshrined in the country's Second Amendment.

But many opponents see a need for universal background checks, tougher restrictions on the types of guns that can be bought and the tightening loopholes for gun ownership, among other reforms.