A group of gunmen dressed in camouflage clothing opened fire on crowds in in the Crocus City Hall music venue near Moscow.
It is believed the group was made up of five people, who used automatic weapons on Friday evening.
An unknown number of people have been killed or injured, social media footage shows.
Several news sites and social media accounts have reported hearing a second blast at the scene, where 50 ambulance crews have already been sent.
In video clips, flames can be seen reaching the sky while plumes of black smoke rise above the venue.
Moscow Mayor Sergei Sobyanin said: "A terrible tragedy occurred in the shopping center Crocus City today.
"I am sorry for the loved ones of the victims."
In one unverified video posted on social media, men with automatic weapons were shown firing repeatedly at screaming civilians, including women, who were cowering below what looked like an entrace sign.
Other video footage showed a number of people lying motionless in pools of blood outside the hall. Reuters was unable to immediately verify the footage.
Another video showed the attackers shooting at people in the concert hall.
Officials gave no specific details about the threat but said that people should avoid concerts and crowds and be aware of their surroundings.
Just before this, Russia's Federal Security Service, the main successor to the Soviet-era KGB, said it had foiled an attack on a synagogue in Moscow by a cell of the militant Sunni Muslim group Islamic State.
It was unclear if the two statements were linked.
