Police were called to Beulah Road near the junction with Parchmore Road around 6.30pm yesterday (July 1).
Before officers arrived, two men were reportedly seen fleeing the scene on a moped.
Following the report officers cordoned off Beulah Road with tape near to the post office.
Nobody was injured and a London Ambulance Service spokesperson confirmed that it had not been called to the incident.
But the incident “caused concern in the community”, according to a Met spokesperson, adding that there will an increased police presence in the area.
No arrests have been made as police enquiries continue.
Anyone with any information about the incident is asked to call 101 quoting CAD 7377/1July.
A spokesperson for Metropolitan Police said: “On Tuesday, 1 July at 18:34hrs police were called to reports of gunshots being heard and a man in possession of a weapon at Beulah Road, Thornton Heath.
“Two men were seen fleeing on a moped before police arrived. Officers attended and carried out a search of the local area.
“No one was reported injured in the incident and no arrests have been made at this early stage. “An investigation has been launched and anyone with information that may assist police is asked to call 101 quoting CAD 7377/1July.
“We understand this has caused concern in the community and there will be an increased police presence in the area.”