Police warned people in the area to stay away from the shopping center.
Reports of shots fired came shortly before 6.30 pm Mountain Time, a police spokesperson told the local media in Denver.
The Walmart is located in the Thornton Town Center which includes multiple restaurants and stores.
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But she said she had "delivered this message poorly" and apologised for any offence and her "poor choice of words". She said: "They know where to go, who to target, as soon as they get cash in their hands, they're gone".
It's unclear how many victims there are, the police also said.
Our partners at Denver7 are reporting that one person has died and another injured in a shooting in Thornton.
Make sure to stay with NewsCenter 16 - on-air and online - as we continue to follow this developing story.