Mexico City Mayor Miguel Angel Mancera has expressed his outrage over the murder of photojournalist Ruben Espinosa and four women in the city last week.
Their bodies were found in a Mexico City flat on Friday.
They all had bullet wounds to the head.
Mr Espinosa, 31, worked for the investigative magazine Proceso. He had recently moved to the capital from the eastern state of Veracruz where he said he had been threatened and harassed.
The photojournalist covered social movements in the city of Xalapa in Veracruz.
He left the state for Mexico City after telling friends he had been followed and intimidated.
Veracruz is considered one of the most dangerous Mexican states for journalists - 17 have been killed there since 2000, rights group Article 19 says.
Mayor Mancera said that there would be "no impunity in this matter".
"No line of investigation will be discarded,'" he told reporters at a news conference on Monday.
Investigators did not give the names of the women killed alongside Mr Espinosa, only their ages. They were 40, 32, 29 and 18 years old.
Proceso, the magazine Mr Espinosa worked for, identified the 32-year-old as Nadia Vera Perez from the southern state of Chiapas.
According to the magazine, she was a social activist who had worked with Mr Espinosa in Veracruz.
She belonged to a student movement that calls for more transparency in Mexican politics.
A year ago, she told reporters that she had received death threats.
Local media said the 29-year-old may have been Colombian.
The 18-year-old is believed to have shared the flat with Ms Vera Perez and the 29-year-old.
The oldest victim is believed to be a cleaner who worked in the flat. Investigators said three of the women had been raped.
All had bullet wounds to the head.
On Sunday, prosecutors said robbery may have been a motive for the crime, as belongings of the victims were missing.
But Proceso editor Rafael Rodriguez Castaneda said the brutality of the murders suggested it was not a simple robbery.
Friends of Mr Espinosa said he had started receiving threats after Proceso published an unflattering picture he had shot of Veracruz governor Javier Duarte on its cover.
Mr Duarte condemned the killings and said he would help with the police investigation.