They say the gunman died from "self-inflicted wounds". The man - a 51-year-old Milwaukee resident - worked for the company. His motives were unclear.
The shooting occurred in the early afternoon while hundreds of employees were still at work.
Milwaukee Mayor Tom Barrett said it was a "tragic day for the city".
Speaking at a news briefing shortly after Wednesday's shooting, he described it as a "horrific act".
Meanwhile, Milwaukee police chief Alfonso Morales said that the five victims were all employees of the brewing company.
He praised the way the city's police, FBI officers and firefighters responded to the attack.
As the incident unfolded, nearby schools and businesses were locked down, local media report.
Speaking at the White House in Washington, President Donald Trump offered his "deepest condolences to the victims and families in Milwaukee".
He described the gunman as a "wicked murderer".
Wisconsin congressman Mike Gallagher condemned the attack on Twitter, saying: "There's no place for these kinds of hateful and disgusting acts in our society."