An officer in Russia's FSB security service was killed and five people were wounded Thursday when a gunman opened fire near its central Moscow headquarters.

The FSB, a successor to the KGB, said the lone attacker was "neutralised" after the attack outside its notorious headquarters on Lubyanka Square close to a busy shopping area in the heart of the Russian capital.

Footage shot by passers-by showed people running in panic while armed officers made their way towards the scene after the late evening incident, taking cover behind parked cars.

"An unknown individual opened fire near building... there are casualties. The identity of the criminal is being established.