Officers who were called to the scene at around 9.30pm were unable to find a gunman.
However, huge crowds flocked to the busy shopping district and started looting.
Multiple people were arrested on suspicion of affray and taken into custody by officers.
A Metropolitan Police spokesman said: “Police called 21:30hrs to report of a man with a firearm in Oxford Street, Westminster.
“Specialist firearms officers deployed immediately & conducted extensive area searches. No suspects located. No reports of any injuries.
“A large crowd gathered at the scene, resulting in some small outbreaks of disorder. A number of people were arrested on suspicion of affray & taken into custody.”
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