The arena, the biggest spherical building in the world, was evacuated and thousands of fans were held outside for several hours after the show was called off just before its 8:15 pm (1815 GMT) start time.
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The promoter Live Nation initially said the show was cancelled because of a technical problem, but police later opened an investigation into "a violation of weapons laws".
According to daily Aftonbladet, security guards had let a man carrying a firearm enter the building, who claimed he was an off-duty policeman. "I forgot to leave it at work," he was quoted as saying by the paper.
Once alerted, police and organisers decided to evacuate the arena to "conduct a search", according to a police statement.
The suspect was still not identified on Monday.
Fans, some of whom had travelled from Norway and France, waited until 11:00 pm before being told the concert was not going to be held.
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"We waited for three hours without knowing anything. We were told there was a problem with the metal detectors but that everything would be resolved soon," Sofia Hartz, who drove five hours from southern Sweden to see Bono and the band, told AFP.
On its website, U2 said its "Innocence + Experience Tour 2015" show was cancelled because of a "security breach". It has been rescheduled for Tuesday.
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