The man died in hospital from his wounds, media said, but there has been no immediate official confirmation of his death.

Interior Minister Annelies Verlinden said earlier the wounded man was suspected of being the gunman. RTBF said he was shot in a cafe.

Two Swedish nationals were shot dead and a third person was wounded in central Brussels on Monday night and a man who identified himself as a member of the Islamic State claimed responsibility in a video posted online.

The suspect fled the scene after the shooting as a football match between Belgium and Sweden was about to start, triggering a massive manhunt and prompting Belgium to raise its terror alert to the highest level.

"The weapon with which the attacks were committed has been found this morning where the man was apprehended in (the Brussels borough of) Schaerbeek. That makes the likelihood that the perpetrator has been caught bigger," Verlinden told VRT broadcaster.

"We are checking fingerprints to be 100 per cent sure."

She said the man was in intensive care in hospital.

Federal prosecutors said they could not yet confirm the identity of the person shot but the Belgian capital's mayor Philippe Close told BFM TV: "It seems indeed the suspect has been neutralised."

Prime Minister Alexander De Croo called Monday's shooting a brutal "terrorist attack".

"Last night three people left for what was supposed to be a wonderful soccer party. Two of them lost their lives in a brutal terrorist attack," De Croo told a news conference.

"The perpetrator targeted specifically Swedish supporters who were in Brussels to attend a Red Devils soccer match. Two Swedish compatriots passed away. A third person is recovering from severe injuries," de Croo said.

The attacker, who unsuccessfully sought asylum in Belgium in November 2019, was known to police over people smuggling and illegal residence in the country, Justice Minister Vincent Van Quickenborne told a news conference earlier on Tuesday.

Sweden raised its terror alert to the second-highest level in August after Koran burnings and other acts in Sweden against Islam's holiest text outraged Muslims and triggered threats from jihadists.

The suspected gunman, calling himself Abdesalem Al Guilani, claimed in a video on social media that he was a fighter for Allah.

The shooting comes at a time of heightened security concerns in some European countries linked to the Israel-Hamas conflict, though a Belgian federal prosecutor said there was no evidence that the attacker had any link to the recently renewed conflict between Israel and Palestinian militants.

Video footage of the Brussels attack posted on the Het Laatste Nieuws newspaper website showed a man in an orange jacket on a scooter at a street intersection with a rifle first firing five shots, then following people fleeing into a building before firing again.

According to a media transcript of the video message recorded by the self-declared perpetrator, he said he had killed Swedes to take revenge in the name of Muslims.

Belgium v Sweden cancelled

The Euro 2024 qualifier between Belgium and Sweden was as a result cancelled as the Swedish players remained in the dressing room after the break.

According to Sudinfo La Capitale, at least one of those killed was wearing a Swedish national team jersey.

"Following a suspected terrorist attack in Brussels this evening, it has been decided after consultation with the two teams and the local police authorities, that the UEFA EURO 2024 qualifying match between Belgium and Sweden is abandoned," UEFA said in a statement on its website.

Swedish reporters at the game said they had been informed of the attack just before the national anthems were played, and the Swedish players told UEFA they did not want to play the second half and the Belgians agreed, Swedish broadcaster TV6 said.

The score was level at 1-1 when news of the suspension came and Swedish fans have been asked to remain in the stadium.

Belgium have already booked their place at the finals in Germany next year, while Sweden cannot qualify.

"I feel completely shocked," Sweden fan Pernilla Califf told the Aftonbladet newspaper. "We don't understand anything. Everyone is taking off their Swedish shirts and changing into neutral clothes. This is really unpleasant"

'Completely unreal'

Sweden coach Janne Andersson told a press conference that they had asked not to carry on with the match.

"When I came down for the break, I got this information. Immediately, I felt that it was completely unreal. What kind of world do we live in today?" he told reporters.

"I came into the locker room and when the team started talking we agreed 100 per cent that we didn't want to play on out of respect for the victims and their families."

Sweden captain Victor Lindelof told the press conference that the players never felt in any danger.

"Our security team handled it well and put us at ease. They explained that this is the safest place to be in Brussels," he said.

"Belgium are already qualified and we don't have the opportunity to get to the European Championship, so I see no reason to play," Lindelof added.