The Westmoor Country Club, which shares a parking lot with the spa, was put on lockdown along with other businesses in the area, the club's chief operating officer, Joe Coen, said.
"We didn't hear anything but ventured to the north toward the spa and we could clearly see police officers with what looked like to be a rifle and a few attendants were coming out of the building," he said. "We quickly retreated back to the building where authorities have told us to stay."
Wisconsin Gov. Scott Walker pledged his support for the victims and the community.
"Senseless acts of violence leave us with heavy hearts and many questions," Walker said in a statement. "Our state will stand with the victims and their families, and we will provide them with the law enforcement and community support they need to heal in the coming days."
ABC News' Jack Date, Richard Esposito and Pierre Thomas contributed to this report.