The incident took place during Sweden's Euro 2024 qualifier with Belgium in Brussels, and the game - in which Lindelof captained the Swedes - was abandoned at half-time.
Two fans wearing Sweden shirts were shot dead, and Belgian prime minister Alexander De Croo claimed that the victims were targeted because of their nationality.
As a result, fans were kept locked inside the King Baudouin Stadium until 4am, while multiple sources have since reported that the Belgian police have killed the attacker.
Lindelof posted a statement on Twitter, expressing his condolences to the families of the victims, and his disbelief that such a tragic event has taken place.
He wrote: "I’m shocked and devastated by the terrible incidents in Brussels with the cold-hearted attacks on our fellow Swedes. I’m lost for words for the cruelty and inhumanity, I want to send my deepest condolences to the families and friends of those affected.
"At the same time, my thoughts go out to all the supporters in Belgium last night, no one should ever go to a game of football and feel unsafe when supporting their team."
The United defender was central to forcing the game's abandonment, with the officials not calling the game off immediately and instead bringing the players back into their respective dressing rooms.
He has explained that he spoke with his own team-mates, and the Belgium players, and an agreement was reached to stop the game.
He said: “I tried to talk to all the players about how they felt.
“And then I felt that I wanted to speak to the Belgian players. I explained the situation and we were very clear that we did not want to carry on and they completely understood that.
“There are players who had family and friends here and we wanted to look after our fans. Those who had family and friends here wanted to make contact with them to see if they were OK. People were worried but our security team handled it very well.”
Lindelof has played for Sweden since 2016 and has won 61 caps for his country.
It has yet to be confirmed when the two sides will finish the qualifier. At the time of the abandonment, the score was level at 1-1.