Police were called to the apartment Saturday night after the grenade exploded, the Swedish news agency TT reported.
"The man in the family woke up when the window was smashed so he had seen the object come in and bounce in the apartment. Fortunately, he closed the door where the children were sleeping. Then he saw the grenade bounce against the door," said Malmo police spokeswoman Marie Persson.
The man suffered minor injuries, Persson said.
"He has problems with his eardrums and possibly some damage to the hand," Persson said. "The family do not understand what happened. There is no threat registered against them. They think someone may have been mistaken."
Police have little evidence in the case, Persson said.
"One person was spotted in connection with the smashed window," Persson told the TT new agency.