Wednesday's attack came despite
an amnesty that went into effect
earlier this month
Local officials declined to comment on the attack. No one has claimed responsibility for the incident.
The killings in Grozny are the latest in a spate of attacks in the separatist region. An amnesty for Chechen fighters and Russian soldiers convicted of abuses, which came into effect on 7 June, has not hampered attacks.
The amnesty followed a March referendum which anchored Chechnya as part of Russia. Moscow is struggling to end the fighting in mainly Muslim Chechnya, which is demanding independence from Russia.
Chechen rebel leaders and human rights groups have criticized the amnesty, which covers at least 200 Russian soldiers, some in prison for abuses in the region.
However, the amnesty fails to include Chechens guilty of serious violence.
The Kremlin says rebels who hand in weapons by 1 September will be pardoned. But human rights groups say few will give themselves up without better guarantees of protection.
Russian officials say the amnesty has been a success. But several policemen, soldiers and civilians have been killed since the amnesty came into force.