The shootings happened after the concert was over in the venue's parking lot.
"We're trying to figure out what happened," Jefferson County Sheriff's Office spokesman Mark Techmeyer told the Denver Post.
The three victims fled the parking lot and were found later at 6th Avenue and Kalamath Street by Denver police.
"We do not believe this is a random shooting into a crowd," Techmeyer said. "We don't know what the motive would have been for the shooter, or what the connection is with the victims."
The park was locked down for the remainder of the night and vehicles were searched as concertgoers left the venue. No arrests have been made in the shooting, and police said they only have a vague idea of what the suspect looked like.
#JCSO investigators working overnight at Red Rocks. No suspect in custody. Updates on Twitter. Park access anticipated in the A.M.— Jeffco Sheriff (@jeffcosheriffco) June 20, 2014