The suspect, a Hispanic man, was on the run following the incident, BBC reported quoting the police.
Police arrived to a scene of chaos after they were alerted to the incident, as the few dozen people who had been in the bar were running out.
The pair, who were armed with handguns, opened fire and then fled the scene, police said. Police estimate that 40 people were in the private club at the time of the shooting.
"Upon arrival, we located a total of nine people that had been shot".
Police spokesman Thomas Tomasic was quoted as saying that the shooting may have stemmed from an argument that occurred inside the bar hours earlier.
Both men have been charged with four counts of first-degree murder, and bond has been set at $1 million each, police said.
The investigation is ongoing, but police said they don't believe the attack was random or a hate crime.
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"I would consider him armed and risky", York said. Five others were taken to a hospital in stable condition for treatment.
Mexico's Foreign Affairs secretary Marcelo Ebrard said on Twitter that two of those killed were Mexicans.
Francisco Garcia Anaya, known to his friends as "Stranger", was at the Tequila KC bar with his fiancée and died in her arms, according to their friend, Shay Celedon.
David Alvey, the mayor of Kansas City, spoke to reporters on Sunday and said his prayers were with the victims. He had at least one other man with him. "This is definitely one of those that we're going to do everything very slowly, very methodically and correctly".
"It's a pretty small bar", Tomasic said. Guests generally know each other and their families.
"They went off so quick I didn't think it was gunshots", he told the paper, saying he texted his fiancee "I've been shot" as he finally ran out.