The Manchester-born artist was performing at Eventhallen in the Norwegian capital on Saturday night.
Officers said there were reports of a person being shot in the leg and security staff took control of the firearm before they arrived on the scene.
Five people have been arrested in connection with the incident and are being questioned, police in Oslo said.
Police added: “We also are aware of a possible injured man in the emergency room. He appears to be hurt in the leg.
“We are still on the site with many units and are working to talk with witnesses.”
Geko, whose single 6:30 was certified silver this week, posted on his Instagram story: “My show got shot up, sorry to everyone that come to see me and I hope everyone that got hit is okay. Love you all.”
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