Stockholm city officials said more than 20,000 people took part in the vigil, organised after a driver mowed down shoppers in a stolen truck before slamming into the facade of the bustling Ahlens department store on Friday afternoon.
The motive was not known, but the method resembled previous attacks using vehicles in Nice, Berlin and London, all of them claimed by the Islamic State (IS) group.
The suspected driver, arrested hours after the attack, has been identified only as a 39-year-old man from Uzbekistan who had shown interest in extremist groups and who was facing deportation after his residency permit application was denied, police said.
A second suspect has also been formally placed under arrest over the attack, Stockholm district court judge Helga Hullman said today, revealing no information about his link to the Uzbek.
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Friday's attack has deeply shocked the usually tranquil Scandinavian nation, which prides itself on its openness and tolerance.
"It's very important to stay strong together against anything that wants to change our society, which is based on democracy," said one participant in the vigil who gave her name only as Marianne, attending with her elderly mother.
One woman offered flowers to police officers guarding the plaza. "Thank you," she said with a smile.
"Fear shall not reign. Terror cannot win," Stockholm mayor Karin Wanngard told the crowd, saying terrorism would be defeated with "kindness and openness".
Linking arms, under flags flying at half-mast, the crowd held a minute of silence for the victims.
"We don't respond with fear, we respond with love," read one poster held by a woman wearing a headscarf.
"He applied for a permanent residency permit in 2014. The Migration Agency rejected it in June 2016 and also decided that he was to be deported," Hysing said.
The man was told last December that he had four weeks to leave the country, but in February his case was handed over to the police "since the person had gone underground," Hysing told reporters.
Police apparently never found the man, whom authorities have said was known to Sweden's intelligence service for undisclosed reasons.
The family of an 11-year-old Swedish girl have meanwhile confirmed she was one of the four people killed in the attack.
The Foreign Office in London confirmed that a British man, 41-year-old Chris Bevington, was among the dead, while the Belgian foreign ministry said a Belgian woman had been killed.
The fourth victim was only known to be a Swedish national. Fifteen people were injured, four of whom were in critical condition.
"There is nothing to indicate that we've got the wrong man. On the contrary, the suspicions have strengthened," national police chief Dan Eliasson said yesterday.
Police had found a suspect device in the cab of the truck.
"A technical examination is ongoing, we can't go into what it is right now...Whether it's a bomb or a flammable device," Eliasson said.
Friday's attack was the second terror attack in Stockholm.
In December 2010, a suicide bomber blew himself up, also on the Drottninggatan street, slightly injuring several passersby.
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