None of the victims suffered life-threatening injuries in the incident on Monday night, and police on Tuesday said they had arrested one man.
Regular protests have taken place since Jamar Clark was shot by police 10 days ago. Police deny he was handcuffed.
Police use of force against African Americans has been an ongoing issue.
Protests have been held nationwide for more than a year after a series of incidents, some of them fatal.
The shooting of the five protesters happened about a block from a Minneapolis police station that has been the site of demonstrations for about a week.
A witness told the Associated Press news agency that three mask-clad people, who "weren't supposed to be there", showed up at the protest site.
They soon left and were followed by a few protesters to a street corner, where the masked men began firing.
The shooting on Monday has prompted Clark's brother to call for an end to the protests "out of imminent concern for the safety of the occupiers".
Black Lives Matter, the movement organising the protest, had planned to announce "next steps" in their protest strategy. It is not clear if the announcement will happen in light of the shooting.
Police said that Clark was the suspect in an assault case, and was shot during a struggle with police that followed him trying to interfere with paramedics tending to the assault victim.
Protesters have alleged that Clark was handcuffed when he was shot - a claim that police deny.
A federal investigation is also being conducted to determine whether police intentionally violated Clark's civil rights during the incident.
Three white men wearing masks have shot five people protesting about the fatal police shooting of a black man in Minneapolis, say witnesses.