Shoppers and staff at Quadrant Shopping Centre in Swansea have been evacuated.
The bus station and Swansea Indoor Market have also been closed as part of the evacuation.
Witnesses have said a male has been detained by police.
South Wales Police received a report of a suspicious package on May 24 shortly after 2pm.
Staff at Primark on St Mary's Square, opposite the entrance to the Quadrant, have been allowed back into the store but Oxford Street, leading up to the shopping centre, remains closed.
Police are currently at the scene.
A spokespersons said: "It would be inappropriate to comment further at this stage."
Witnesses have taken to social media to describe their distress.
Shopper Samantha Absolom, 23, said: "I was in the Quadrant and I was told to leave.
"I have parked in the attached car park and I can't get to my car.
"All shops in the city centre seem to have been evacuated.
"I am scared."
First Cymru buses are not departing from the Quadrant and commuters are being advised to board buses from Wellington Street in Swansea instead.
Police in Swansea have confirmed the Quadrant will be closed for at least another three hours.
Thanks for your patience regarding the incident @ the Swansea Quadrant Centre & Market today; we should have the matter resolved shortly
— SW Police Swansea (@SWPSwansea) May 24, 2017
A collegue from one of the shops situated in the Quadrant Shopping Centre said: "We do have few false alarms but there was a lot more police presence in the town today for obvious reason.
"We heard they were going to do a controlled explosion in the Quadrant."
Swansea University students are recieving emails warning them to avoid the city centre and to follow instructions from authorities.
The news comes after the UK terror threat level was raised to critical this morning.
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