Officers swept through neighboring shops at the Brookside Marketplace strip mall, aisle by aisle and with guns drawn, shortly after the shootings Saturday, but found no trace of the gunman.
Attempts to find him with dogs and a helicopter equipped with infrared sensors also failed, authorities said.
Officers found the victims, including at least one employee, at the back of the Lane Bryant store after receiving a 911 call around 10:45 a.m, police said. Chief Mike O'Connell said a bystander told officers he had seen a stocky black man, about 5 feet 9 inches tall, who was wearing a black winter coat, a knit cap and dark pants, leave the store.
Authorities said robbery was believed to be the motive. The store did not have its own security camera, O'Connell said, but investigators were trying to determine if there was video from cameras mounted at nearby stores.
"We do not want to compromise any evidence that may be out there ... I ask we keep family of the victims in our thoughts and prayers," he said.
In a Target store across the parking lot from Lane Bryant, terrified customers were herded to the front as police with pistols and rifles drawn went up and down the aisles and into storerooms searching for the gunman.
"I was so scared I couldn't think," said Selena Kujawa, who had just entered the store with her 5-year-old son when it was locked down. After about an hour, customers were told to leave.
"They told us to get in our cars and get out of here," Kujawa said.
Kujawa said her son was still asking about the shooting long after they had gotten home.
"He asked `What happened to the people? Did they catch the bad guy?"' she said. "There will be lots of nightmares tonight."
The Lane Bryant was open at the time of the shootings. Police would not identify the victims, but said they ranged in age from 22 to 37. Four were from suburban Chicago and one was from South Bend, Ind.
The family of Carrie Hudek Chiuso, 33, of Frankfort, said she was one of the victims.
"She is the most wonderful person, and that maniac took a piece of all of us," Jennifer Hudek, Chiuso's sister-in-law, told the Chicago Tribune for a story posted on its Web site Saturday.
Chiuso, a 1993 graduate of Homewood-Flossmoor High School, was "Carrie was deeply loved by faculty and staff," school spokesman Dave Thieman said in a statement. "She had a real touch with students. The entire H-F family is deeply saddened."
The police chief said no further information would be made available until Sunday afternoon, after forensic exams were completed.
Police allowed shoppers into parts of the strip mall later Saturday, but had cordoned off the store.
The small red and brown brick Lane Bryant is part of a cluster of four or five stores isolated on one side of a large blacktop parking lot, with big box stores including Target and a Best Buy several hundred yards away.
Messages left at Lane Bryant Brand headquarters were not immediately returned.
Lane Bryant is part of plus-size women's apparel retailer Charming Shoppes Inc., based in Bensalem, Pa., which also owns the Fashion Bug and Catherines brands.