Twin blasts that rocked central Stockholm killing one man were described as a "terrorist" attack Sunday by Sweden's domestic intelligence agency Saepo.

"We are opening an investigation into a terrorist crime," Anders Thornberg, head of Saepo's security unit, said a day after an apparent car bomb and a separate blast targeted Christmas shoppers in the Swedish capital.

The suspected bomber, whose identity has not been made public, was killed but Thornberg told a press conference that it was unclear if he had intended to blow himself up.

"If this was a suicide attack, it would be new in Sweden," he said.

"This is very serious and we are doing everything we can to investigate this," he said.

Two people were injured when a car packed with gas canisters exploded around 5pm Saturday in the busy shopping street of Drottninggatan. A second blast occurred shortly afterwards a few hundred metres away, killing a man.

Swedish television reported that a bag filled with nails had been found near the body.

Stockholm police said patrols would be stepped up in the wake of the attack, which comes six weeks after Saepo raised the security alert level from "low" to "elevated".

Germany, Britain and France all raised their alert levels last month amid increased fears of possible terrorist attacks in Europe.

Saturday's attack is unlikely to cause renewed security hikes elsewhere in Europe.

"For the moment, there is nothing to indicate that the attack was anything other than an attack directed uniquely at Stockholm," said Judith Sluiter, spokeswoman for the Dutch national anti-terrorism coordinator.

"We don't believe there is any reason to review the terrorism alert level in the Netherlands," she added.

Swedish news agency TT said it had received an email about 10 minutes before the first blast in Arabic and Swedish, warning of unspecified "action".

"Our acts will speak for themselves," TT quoted the message as saying. "Now your children, your daughters and your sisters will die as our brothers, our sisters and our children are dying."

Sweden has around 500 troops in Afghanistan as part of the US-led international security force. Their mandate only runs to 1 January, and would need to be renewed by parliament for them to stay on.

Punitive actions would continue "as long as you do not stop your war against Islam, your degradation of the Prophet and your stupid support for the pig Vilks," said the statement.

Sheik Hassan Mussa, the imam of Stockholm's grand mosque, deplored "all forms of attacks, violence, fears and threats against innocent people, whatever the motive or pretext", in a statement sent to TT.

The security and stability of Sweden are a religious and social duty, he added.