The detainee "is a suspect and not a witness", but the link with the facts has not yet been established, Xinhua quoted the procuratorate as saying.
An investigation into the other fleeing suspect is underway.
The shooting took place Saturday afternoon near a Jewish museum in Brussels on the eve of Belgian federal and regional parliamentary elections Sunday.
Belgium Deputy Prime Minister and Minister of Foreign Affairs, Didier Reynders, present in Sablon district at the time of shooting, cannot help "thinking of an anti-Semitic act in view of the operational mode".
The Belgian Interior Minister Joelle Milquet, however, said that it is still "too early to say whether this is a terrorist act aimed at the Jewish community".
According to witnesses, shots were fired around 4 p.m. near the Jewish Museum in the district of Sablon in Brussels.
Twelve seriously shocked people were taken care by assistance services, the media quoted Brussels firefighters' spokesperson Pierre Meys as saying.
"Shocked by the murders committed at the Jewish Museum, I'm thinking of the victims I saw on site and their families," Reynders said on a social-networking site.