In a statement, a North Rhine Westphalia Police spokesman said: "The current state of our investigations points to the threat being exclusively at the shopping centre".
"The shopping centre will be closed all Saturday due to security concerns". Police later said they had detained another man in an internet cafe in the same town for questioning.
The shopping centre vehicle park has also been put on lock down.
The shopping centre at Limbecker Platz square is one of the biggest shopping centres in Germany with more than 200 stores, attracting up to 60,000 people on a Saturday, according to its website.
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Hundreds of police are involved in the security operation at the Limbecker Platz mall, which was locked down before it opened to the public, Essen police spokesperson Christoph Wickhorst said.
Twelve people were killed and 48 others injured in December after a tractor-trailer plowed through a busy outdoor Christmas market in Berlin.
Many fear the liberal asylum policies of German Chancellor Angela Merkel could cost Germany dearly, as reports have said some terror attacks have been carried out through refugee recruits.
In 2016, three people were injured in an attack on a Sikh temple in Essen by radicalised German-born Muslim teenagers. It later turned out that the man had no links to terror groups and acted on his own.