The victims, all 18 to 25 years old, were knocked down and trampled by a crowd at a large hall, Cadena Ser radio network/Agenzia Giornalistica Italia reported Thursday.
Three women suffered cardiac arrest and died, officials said.
Police said the crowd of about 10,000 people rushed to leave the building after a flare was reportedly fired about 4 a.m. All but one of the doors in the building had been locked.
An investigation was under way.
Pregnant Mila Kunis wins 'Best Villain' at MTV Movie Awards
'Happy' fan videos make Pharrell cry [VIDEO]