Witnesses say the suspects were wearing character masks.
"It is believed at least one suspect fired shots inside the store", the Las Vegas Metropolitan Police Department said in a statement.
Local reports suggest the shooting is linked to an attempted armed raid on a Rolex shop inside the hotel.
The Bellagio is home to several high-end jewelry and watch stores, including Tiffany and Harry Winston.
The Bellagio was placed on lockdown for about 30 minutes after the incident. They are still investigating what appears to be a burglary either at the store or in the world-famous casino itself. There were also other reports of tourists hearing gunshots and that there was an "active shooter" in the area. Large police forces arrived at the scene and it remains unclear whether anyone was injured. When it wouldn't start, they tried to carjack someone else's vehicle, and then tried to run away, the Las Vegas Sun reported.