About six police cars and a dog unit were at the scene.
The reporter earlier said there was a heavy police presence in Mosgiel, including Armed Offenders Squad members and a dog unit.
A man who works at a Gordon Rd business earlier said police had flooded the area.
He said the man who was on the loose was laughing, said he was armed and threatened to shoot police.
Police had moved on from the area surrounding his business. He had shut the doors of the business and believed they were now safe.
However, it is unclear whether he actually had a gun and police did not comment on whether he was armed.
Three high school pupils, all of Mosgiel, said the pair who were apprehended by police had stopped to ask them where the closest public toilets were before the arrest.
The girls mentioned to the pair that police were looking for someone who had told police they had a gun, the man then laughed and said "isn't that funny".
He had been acting "passive aggressive" and "dodgy" and the woman would not speak, the girls said.
"It was really scary."
The pupils said the pair had been biking in and out of the school nearby.
The man was on a bike and the woman was on a scooter.
Police said they responded to the incident following reports of a man acting "aggressively" at a store.
A police media spokesperson confirmed they arrived at the scene shortly after 12.15pm.
"He was threatening staff."
She also said he had allegedly assaulted a staff member.
A Countdown spokeswoman said staff were shaken but safe.
"Everyone is being offered support, including counselling."
