Police said in a statement that the shooting happened in the Lugeck area of the city's first district at 1:30pm (1230 GMT).
The circumstances were still unclear, it added.
"Following the shooting in the city centre, there are intensive search operations going on throughout the city," police said in a tweet.
"There is no danger to bystanders at this time!," it added.
A police helicopter could be seen over the city centre near where the two victims were found.