But the show was delayed and then cancelled, with video posted on social media showing an announcer on stage informing fans already at the arena the gig would not go ahead and police would escort them to the metro for them to leave.
One devastated fan said on Twitter: "I know this has been done to keep everyone safe but it's so heartbreaking."
Styles recently pledged to donate $1 million to American non-profit anti-gun violence group Everytown after the deadly Uvalde school shooting in Texas in May.
Before the Copenhagen show's cancellation was confirmed, some fans had started abandoning their plans to attend his gig.
One fan tweeted: "So there was a shooting near the Harry concert in Copenhagen that I was supposed to attend but I'm on my way home now."
Others had pleaded with the singer to cancel his concert before it was confirmed it was not going ahead.
Petrified shoppers including mothers clutching babies were seen fleeing for their lives after shots rang out at the Field's mall.
A 22-year-old Danish man has been arrested in connection with the shooting by armed officers near the shopping centre, according to the head of the Copenhagen police operations unit, inspector Soren Thomassen.
He told a press conference: "We know that there are several dead and several injured," – before adding the possibility it was a terror attack could not be ruled out.
