
Montenegrin media said the victims were members of the “Skaljari” criminal clan.
Police did not give their identities.
The explosion occurred shortly after 9am local time near a sports facility in Cetinje, shattering the glass of the complex and uprooting a nearby tree, according to footage broadcast on local television.
“Officers immediately went to the scene and the area was secured,” police said.
“Police officers are carrying out intensive investigations in coordination with the higher state prosecutor’s office in Podgorica. The public will be informed in due course about the progress and outcome,” they added.
Cetinje is the site of the former royal capital and sits in a mountainous valley that has largely stagnated economically.
The area and its surroundings are strongholds of organised criminal groups, and clashes erupt sporadically between rival mafia clans.
Organised crime and corruption have persistently plagued Montenegro, which has pledged to tackle these scourges under pressure from the European Union.
Violent incidents remain relatively rare in the tiny Adriatic nation, whose picturesque beaches and mountains are a magnet for tourists.
Last year, a man set off an explosive device at a court building in the capital, Podgorica, killing himself and injuring five other people.
Two years ago, a gunman went on the rampage in Cetinje, killing 10 people.