Footage from the scene shows police vehicles and a Fire Department of New York (FDNY) responding to the incident as crowds amass outside the store on 7th Avenue and 34th Street.
The 11-storey shopping complex is a major hotspot for tourists in the busy mid-town district of Manhattan.
Witnesses at the scene say the area has been placed on lockdown and Macy's has been evacuated.
Scenes outside of Macy's as reports of shooting at the store
Fears have escalated on social media after a reports of a shot being fired at nearby Penn Station, where New York's transport authority, MTA, have now responded.
According to local media the a man, described as being "emotionally disturbed", has been arrested at Penn Station, but this have not been confirmed by officers.
Transport police for train company Amtrak tasered a man inside the station – with the noise sparking mass panic inside the station, reports suggest.
Other reports claim two people have been arrested over the incident.
Macy's is located in midtown Manhattan
Witness Kaitee Daly, who was at Penn Station, said: "[My] heart is still racing… was just hunkered down in GNC [health store] after hundreds of people started screaming & running through Penn Station."
Ms Daly told the Express.co.uk: “It was honestly the most terrifying experience I've ever been a part of.
“It was hard to decipher sounds with so many people running and screaming, but at one point someone ran past the corner we were hiding in and told us to, ‘get the f*** out of here’.
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“No one knew what was going on but given the world we live in today, we all assumed it was bad. People were calling their loved ones, shaking, crying.
“I texted my family and was then encouraged by others to call 9-1-1 [the US emergency services number].”
She added: “It may seem trivial now that reports have come out that it was an unruly person who was tasered, but when hundreds of people are running by with a terrified look of panic, you don't stop them to ask if they mistook pop sounds for a taser
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"I am now on a train back home (thankfully) but before I left the station had returned to some level of calmness. While I was on the phone with 9-1-1, people in GNC said that authorities had appeared in the centre area near the Amtrak track information boards.
"[But] No one came into the GNC to say what had actually happened. I found out from my brother, who was searching Twitter on my behalf while I talked to the 911 dispatcher."
The US has been on high alert after the recent San Bernardino shooting and various bomb scares in the New York area in the past year
Chief James R Waters, NYPD chief of counterterrorism later released a statement on Twitter saying there were no shots fired during the incident in Penn Station or Macy's.
He added that the police force did not find an active shooter after responding to reports from inside the department store.