A gunman fired shots through an open window at the Blue Parrot club in Playa Del Carmen - about 40 miles from Cancun - early Monday morning.
The club was one of several venues hosting events as part of the BPM festival, which brings together more than 150 of the world's top DJs and musical acts.
London-based promoter Elrow was hosting a closing 'This Is The End' party at the Blue Parrot when the shooting occurred, and it is believed that many attendees at the event were British and American tourists.
Local news reports suggest that the incident is connected to ongoing drug cartel wars in the area. Police have not confirmed the death toll, and the gunman is believed to still be at large.
Scottish DJ Jackmaster issued a warning on Twitter saying, 'Stay in your f*****g hotels' following the shooting.
The DJ, whose real name is Jack Revill, tweeted about the incident just after 3am local time.
'Someone has come into the club in Playa Del Carmen and opened fire. 4-5 dead and many wounded. Stay in ur f****n hotel if you're here at BPM,' he wrote. 'Apparently now more shots fired at another club in the area.'
It is believed that a security guard was one of those who were shot and killed.One of the victims is believed to be a Canadian festival organizer, local media reported.
Another 12 people were injured in the shooting.
A worker at CostaMed hospital in Playa del Carmen told NBC News that a man and a woman were admitted to the hospital at 3.39am local time. He said that the man was in 'grave' condition while the woman was in stable condition.
A second shooting was reported at the club The Jungle, where another BPM closing party featuring John Acquaviva, Stacey Pullen and David Berrie was taking place.
Videos on Instagram show people running through the streets of Playa Del Carmen following the shooting.
Mexican police have confirmed the mass shooting but have not given motive for the gunfire. They have not reported any arrests.