The incident happened shortly after 10 a.m. at the station when authorities were alerted the man was behaving in a menacing way.
"He was screaming at the top of his voice and threatening that he had a bomb," a witness told the Sydsvenskan newspaper.
Another witness, Malmo resident Fernando Valarino, told the Associated Press he was at the station waiting for a train when he saw a tall, bald man in a dark purple raincoat who appeared to be about 30 years old banging a duffel bag on the ground.
At first, he couldn't make out what the man was saying but then heard him yell "I've got a bomb" in English.
Valarino said he saw station employees remove people from the area before police arrived.
"He tried to run, and shots were fired. I definitely heard three shots, but maybe there were four," Valarino told the AP.
Police spokeswoman Evelina Olsson told the AP authorities evacuated the station as a bomb squad searched the building, but found nothing dangerous.
"We don't know if he had a bomb, but probably not. It looks like it was nothing serious," Olsson told The AP.
Officers shot the man in both legs and he remains hospitalized but has so far been unwilling to explain his actions to police, she added
"We are still unsure of who he is," she said.
The Associated Press contributed to this report.