A couple, dressed as the Joker and Harley Quinn from the movie Suicide Squad, were having sex at a Melbourne nightclub when they were shot in a police raid.

They were at a swingers party - where people go to have sex with strangers - at Inflation nightclub.

Police received multiple reports of the 35-year-old man being armed with a gun in a room before 3am on Saturday (July 8), according to The Mirror.

The gun was reportedly a toy gun for his costume.

Victoria Police Superintendent Lisa Hardeman said local police arrived first, before the Critical Incident Response team decided what to do.

She explained that the officers had called out to the man, but he took the firearm from his pants and aimed it at them.

They shot him in the torso, and later tasered him too, according to news.com.au.

"A number of shots were fired. A number of police options were used after he was shot," said Ms Hardeman.

The Age reported that the man was taken to hospital in a critical condition but was later stabilised, while the woman was shot in the leg and was taken to hospital with non-life-threatening injuries.

The nightclub has accused police of overreacting, and says it has lodged a formal complaint with the Chief Commissioner of Police.

In a Facebook post, club owner Martha Tsamis said: "These events have been held for approximately 20 years at Inflation without any incident.

"Participants are generally older adults who come in costume and engage with each other in adult fantasies."

She added that in all the parties, participants' costumes and accessories have to be shown to security before they can enter.

Security had taken note of the plastic toy accessory, Ms Tsamis said, and the police were told that when they arrived.

She added: "Venue staff have stated that the male victim was not holding anything in his hand but rather he was in a compromising position with his female partner, which is a normal activity with the nature of this event."

The nightclub also posted on its Facebook page, saying: "Management + Staff are shaken by what could (have) been avoided if the Police cared to listen".