A man has been arrested on suspicion of conspiracy to murder following reports of gunfire near a supermarket.
Armed officers searched Marsh Road, which runs behind Asda in Weymouth, shortly before 18:00 BST on Tuesday after "a number of men" were seen fleeing the scene, Dorset Police said.
The force said no injuries were reported and no weapons had been found.
A 54-year-old from Weymouth is being held in custody. Police said they were searching for a further suspect.
Detectives are trying to establish what sort of firearm was used, but said that it could have been an air weapon.
"We are still carrying out an extensive investigation and are determined to identify those involved, as we do believe there is still a suspect outstanding," Det Insp Andrea Power said.
Insp Steve Yeoman added that he wanted to reassure the community that there was believed to be no wider threat to the public.