The fire at Fero's Bar & Grill was reported around closing time at 2 a.m., Police Chief Robert White said.
Firefighters found four women and one man dead inside the bar. Police don't think they died in the fire.
"The business has obviously been set on fire, an arson, I'm guessing, to mask the homicide that occurred inside," said police Commander Ronald Saunier.
"There is just trauma, enough information to believe that we have a homicide that occurred here. They didn't perish in the fire," he said.
The fire didn't appear to be a very large one. No damage to the bar was visible from the street or aerial news coverage.
The bar is located in a strip mall about five miles south of downtown Denver just outside of the tony Cherry Creek North shopping district on one of the city's busiest streets, Colorado Boulevard. In listings in Denver's alternative weekly, Westword, Fero's is described as a "longstanding dive" that attracts regulars as well as people staying in nearby hotels. It shares the strip mall with a check cashing store and a car repair shop.
After sunrise, residents in a neighboring apartment building were out walking their dogs as police continued to investigate.
The bar's owner couldn't immediately be reached for comment.
The five killed are believed to be the only ones in the bar when the fire started — other than whoever is responsible for their deaths —so police are asking anyone else who was at the place earlier to come forward, as investigators try to piece together what happened.
The victims haven't been identified. Autopsies were expected to be conducted later in the day.