Police said they were responding "as if the incident is terrorist-related" but has not said whether they believe it is.
Transport police advised people to avoid the area, which was packed with commuters and shoppers at the end of the working week and amid Black Friday sales.
London's Metropolitan Police were responding to reports of shots fired at the Oxford Circus tube station on Friday. The shop is locked and police have whole area on lock down'. Everyone in the area is ordered to go to the nearest buildings because the signal sent to the police is for shooting, but shortly the police officers have officially announced they have not found any traces of shots or a specific suspect of the incident.
In a statement, the British Transport Police said officers were called to the station after reports of gunfire on a subway platform.
"At about 4.38pm we started to receive numerous 999 calls reporting shots fired in a number of locations on Oxford Street and at Oxford Circus tube station".
"We were in the Kingdom of candies and then saw a massive crowd of people running and screaming".
Sky News reported Bond Street and Oxford Circus tube stations were close but have since been reopened.
Some stores filled with people taking shelter; others were evacuated. Officers are continuing to search the area. Police everywhere!' he's tweeted.
The police have not located any casualties at this time. "I think people were so unsure what had happened they were running in all directions".
London is on high alert following a string of terror attacks in Britain this year.
The UK government's official terror threat level is now "severe", the second-highest level.
The city of Manchester was also traumatized by a bombing at a concert arena, which killed 22 people.