The bodies were found Friday night in a home in a middle class area after a call from neighbors, said an official from the city prosecutor's office.
Police said the victims were three women and two men. Their hands were tied with tape, and some showed signs of torture.
The identities were not released, nor was there any immediate word on what the motive of the killings might be.
Mexico is enduring a nightmare of drug-related violence that has left more than 100,000 people dead and 22,000 missing since 2006, when the government deployed the military to fight the country's powerful drug cartels.
But such crimes are uncommon in Mexico City, which has largely escaped the brunt of the drug-related violence.