Officers combed the scene on Mäster Samuelsgatan after witnesses reported hearing a loud bang or seeing a flash of light shortly before 6:30 pm.
"It may have been a powerful firecracker," police spokesman Sven-Erik Olsson told news agency TT.
The explosion, though heard by many shoppers and diners in the area, left very little damage and caused no injuries outside the posh Mood shopping center.
Fire crews told TT that the center's facade and a nearby car sustained minor damage when one of its windows was smashed.
Police cleared the scene about 10 pm and the Mood shopping center opened as usual on Wednesday.