The incident reportedly happened in Wembley Park Drive, near Wembley Park station at around 10.20pm yesterday (April 27).
Officers rushed to the scene and checked CCTV in the area but could not find the suspects.
No arrests have been as police enquiries are ongoing.
A spokesperson for Metropolitan Police said: “Police were called at 22:19hrs on Sunday, 27 April to Wembley Park Drive in Wembley following reports of a group of men seen with a firearm.
“Officers attended and reviewed CCTV from the area and the suspects could not be located.
“Enquires remain ongoing.”
