The synagogue is located on Crystal Street in central Copenhagen nearby Norreport metro and train station which has been evacuated as police search the vicinity for the suspect, RIA Novosti reported referring to Danish police.
The news comes only hours after an attack at a Copenhagen cafe where a blasphemy debate with Lars Vilks, the author of controversial cartoons depicting the Prophet Mohammed, and which was also attended by the French Ambassador to Denmark. The debate, inspired by last month's attacks on the Charlie Hedbo magazine in France, was titled "Art, Blasphemy and the Freedom of the Press."
While Vilks was unharmed, at least one person was killed and three policemen were injured.
Eyewitnesses claim that the attacker in the earlier incident spoke in Arabic as he was shooting and the police have announced they are investigating it as a terrorist attack.
Police said they could not confirm whether the two attacks were related.