Tinley Park Police Sgt. T.J. Grady said officers responding to a 911 call of a shooting at the Brookside Marketplace at about 10:45 a.m. found the victims inside a Lane Bryant store.
Grady said the store was open at the time of the shootings, but declined to say whether the victims were customers or employees. He gave no ages and said authorities are still trying to reach the victims' families.
Two large county vans backed up to the front of the building Saturday afternoon and a white canopy was placed over the front of the building.
Earlier, Grady said the shooter apparently had left the cluster of stores off Interstate 80 in the suburbs southwest of downtown Chicago.
"No motive has been established," Grady said. "Every store was immediately canvassed and a search by air too has given us every indication that the offender has left the scene."
Grady said police are looking for a black man about 5 feet 9 inches tall and weighing 230 to 260 pounds. They said the man was wearing a black waist-length winter coat, a black cap and black jeans.
Police were allowing some shoppers into parts of the strip mall Saturday afternoon, but had cordoned off the Lane Bryant store.
CBS News affiliate WBBM reports that witnesses said police locked down neighboring stores in the center and searched the stores with guns drawn.
"We kind of like didn't know what was going on," said Mike Jones, an employee of the Taco Bell adjacent to the retail store told the affiliate. "They told us to evacuate where we were."
Tracy Caccavella was shopping at a Pet Smart store late Saturday morning across the parking lot from the Lane Bryant when she saw police enter the pet supply store.
"Six police entered the store with their hands on their gun holsters," Caccavella said.
Police conducted a thorough search and left, she said.
The Cook County Sheriff's Department was helping with the investigation, providing a helicopter and K-9 patrol unit Saturday, said spokeswoman Penny Mateck.
The Federal Bureau of Investigations in Chicago had not been contacted Saturday afternoon to assist in the search for the shooter.
Messages left at Lane Bryant Brand headquarters were not immediately returned.
The small red and brown brick Lane Bryant is part of a cluster of four or five stores isolated on one side of a large blacktop parking lot, with big box stores including Target and a Best Buy several hundred yards away.
Police taped off the small complex of stores adjoining the Lane Bryant and would not allow anyone within a few hundred yards. Dozens of officers gathered by the store's glass front doors. Detectives could be seen going in and out of the Lane Bryant while a police helicopter hovered overhead.
The strip mall skirts a major section of Interstate 80 with a Holiday Inn perched nearby at one highway exit. No houses are in immediate area and a few apartment buildings are about a half-mile away.
WBBM reports that violent crime this this suburb south of Chicago is very rare. There has only been one murder in the past eight years, and that was in 1999.