Police have released a picture of the gunman, who fled armed with a rifle.
The Cascade Mall and nearby shops, located in Burlington, near Seattle, were evacuated and police have asked the public to stay away. The motive for the attack is not clear.
Police described the suspect as a "Hispanic male wearing grey".
He was seen heading towards the Interstate 5 motorway.
Washington State Patrol spokesman Mark Francis said the fatalities had taken place inside Macy's department store.
Sgt Francis confirmed the death of a fifth victim, a man, early on Saturday. The other four were women.
Sgt Francis said the gunman had left the scene before police arrived and was last seen walking towards a motorway.
Washington Governor Jay Inslee, said the shooting was a tragedy.
"We urge residents to heed all safety and detour warnings. Stay close to your friends and loved ones as we await more information and, hopefully, news of the suspect's capture."
Emergency management officials have told residents to stay inside with their doors locked and avoid the area near the Cascade Mall. Drivers are being urged to keep nearby major roads clear.
The FBI, which is assisting in the investigation, says there is no evidence that further attacks are planned in Washington State.
Burlington is about 65 miles (105km) north of Seattle.
The death toll from a mass shooting at a shopping centre in Washington state has risen to five, police say, with the suspected gunman still at large.