The fire, which broke out late Saturday, also injured at least 88 people, said an official with the Shenzhen Work Safety Bureau. Like many Chinese officials, the man refused to give his name.
Shenzhen is just over the border with Hong Kong in Guangdong province.
The official Xinhua News Agency said the fire broke out in a club called "King of the Dancers" while hundreds of people were watching a show.
An initial police investigation showed that the blaze was triggered by fireworks ignited during the show, Xinhua said.
Many partygoers were hurt in a stampede to escape down "a narrow aisle," a club staff member was quoted by the agency as saying.
"I saw people rushing out ... and all the lights were off," it quoted Yang Zhi as saying. Xinhua said Yang suffered burns to his neck.
Fires and accidents in bars, theaters and other public places are common in China despite government pledges to improve safety. Many are caused by negligence and lax safety procedures, such as a lack of fire extinguishers and emergency exits.
In China's worst recent nightclub disaster, a fire blamed on a welding accident tore through a disco in the central city of Luoyang in December 2000, killing 309 people.
Mine Blasts Kill At Least 36; Another 35 Missing
Two mine accidents in different parts of China have killed at least 36 people and left another 35 missing, state media said Sunday.
The official Xinhua News Agency said 31 miners were killed in a gas explosion before dawn Sunday at a private mine near Dengfeng city in Henan province in central China. Rescuers were searching for nine others.
Xinhua quoted a government official as saying 108 people were underground when the accident happened and that 68 escaped.
A woman who answered the phone at the Dengfeng Work Safety Bureau confirmed the accident but had no other details. She refused to give her name, as is common among Chinese officials.
Xinhua also reported that five miners were killed and 26 were still missing after a coal mine fire Saturday in Hegang city in Heilongjiang province in northeast China.
It said 12 miners managed to escape, but rescue efforts were hampered by thick smoke and high gas density in the mine shaft.
Calls to local government offices Sunday in Hegang went unanswered.
China's mines are the world's deadliest, with explosions, cave-ins and floods killing nearly 3,800 people last year.