A woman was also injured, and later died at hospital.
Shoppers at the Walmart in Thornton say they heard gunshots coming from inside the store. A little more than an hour later, they tweeted that there was not an active shooter "at this time".
Thornton police are searching for Scott Ostrem, 47, who they say fled in a auto before officers arrived.
Thornton police spokesman Victor Avila told KDVR that the shooting was a "very heinous act".
A report of multiple shots fired came out before 6:30 p.m.at the Grant Street Walmart location, says Officer Avila with the Thornton Police Department.
Authorities did not immediately release any other information about the victims. "Screaming and screaming, and my biggest fear is we're all bunched up there and this guy, who knows where he is, could come and just starting shooting people".
Detectives said that the shooting appeared to be random and not linked to terror.
He recounted that "the employees started screaming and the customers started screaming" as people began to flee the store.