Police say they are searching for a man of Swedish origin who they believe could have a criminal past. they believe he is still within the country.
"This is not the act of a novice criminal. The killer has done this kind of thing before - you don’t begin your criminal career with this kind of crime," a high-ranking police official said.
Police say the assailant had a haggard face and was of heavy built.
Stockholm police spokesman Bjoern Pihlblad said a 32-year old man who was being questioned about the fatal stabbing was released on Thursday evening.
A police car outside the NK mall
in central Stockholm where Anna
Lindh was stabbed
"We questioned the person last night. He was released, and he is not a suspect," the spokesman said.
"We have a number of people that we are investigating, we have not singled out a suspect," he added.
A popular politician, Lindh was stabbed in the arm, abdomen and chest by an unknown assailant while she was out shopping at a department store in the city centre on Wednesday.
She died early on Thursday of massive internal bleeding.
The attacker fled after having stabbed her. Forensic experts are now studying the knife, a baseball cap and a sweatshirt that he left behind.
Hundreds of police officers are working around the clock on the case and authorities said they are putting 'all resources' possible into the investigation.
Police have questioned numerous witnesses who were in the store at the time of the attack.
The prosecutor in charge of the case, Agneta Blidberg - who remains in charge of the unresolved 1986 murder of former prime minister Olof Palme - ordered several potential suspects to be called in for questioning overnight.
"We have questioned people who match the description given by witnesses, all of them have violent tendencies," police spokesman Bjoern Pihlblad told AFP.
As the hunt for the killer continues, a nationwide alert has been issued with increased vigil mounted at the country's borders and airports.