Police responded to a reported shooting at the store, located at 2020 East Lincoln Hwy. in Merrillville, about 5 p.m.
When officers arrived, they found one injured person, police said.
The individual was taken to a nearby hospital for treatment, police said.
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The victim was not shot, police said, but suffered non-life threatening injuries.
A gun was fired in the business, and the suspect or suspects drove away before officers arrived, police said.
Police said there is not an active threat in the area, but the public is asked to avoid it due to a significant police presence.
The investigation is ongoing.
Just after 6:30 p.m., a car in the same parking lot was on fire.
Car catches fire in Merrillville parking lot
It was not clear if the car fire was related to the shooting.
A Burlington spokeswoman said, "The safety of our customers and associates is paramount at Burlington. We are aware of the incident at our Merrillville, Indiana store and are actively cooperating with local authorities."