The execution-style killings took place late Sunday and early Monday shortly after off-duty military police officer Arides Luiz dos Santos was killed at a gas station in an attempted robbery, CNN reported Wednesday.
The timing of the shootings led to speculation the killings were perpetrated by police out of revenge. Authorities questioned whether gang members were responsible, CNN said.
Residents, angry about the killings, took to the streets and set fire to three buses.
Sao Paulo Public Safety Secretary Fernando Grella Vieira said military police "will not rest" until those responsible are found.
"These are intolerable crimes and I can guarantee that the police will not rest until we solve these deaths and arrest the perpetrators," he said.
The victims ranged in age from 17 to 30, CNN reported.