Denver Police Chief Robert White said the bodies appeared to have suffered trauma and the fire was believed to be arson, The Denver Post reported.
The victims were identified as bar owner Young Suk Fero, 63; Daria M. Pohl, 22, of Denver; Kellene Fallon, 45, of Denver; Ross Richter, 29, no hometown provided; and Tereasa Beesley, 45, of Denver, the newspaper said.
Fero's brother, Tae Moon Park, said police told him his sister was shot before the bar was set ablaze.
"It appears there was some trauma to the bodies -- it also appears to be an arson," White told reporters at a predawn briefing, adding later police are calling the incident a "homicide-arson."
The blaze was reported about 1:50 a.m., police said. The bodies, found by firefighters, were pronounced dead at the scene.
Ron Saunier, commander of the Denver Police Major Crimes Unit, said the victims did not die in the fire, which he said apparently was set to hide the deaths.
"It's going to be a long, drawn-out investigation at this point," Saunier said.
White said it was not known if the bar was closed, or in the process of closing, at the time of the incident.
The extent of damage to the bar had yet to be determined early Wednesday. Young Suk Fero bought it in 1984 with her husband, Danny Fero, 58.
Danny Fero said his wife acquired full ownership of the bar when they separated.