The shooting occurred at Tequila KC Bar near 10th Street and Central Avenue, according to a spokesperson for the city's police department.
Police said the preliminary investigation suggests an earlier bar fight led to the shooting, with two suspects later returning to the bar, the Efe news agency reported.
The police are looking for the suspects, who they say used handguns. Police released pictures of the two men and asked for the public's help in identifying them.
Jose Valdez, a bartender, told the Kansas City Star that he recognized one of the gunmen as someone he refused to serve earlier that evening because he was known as a troublemaker at the bar.
Valdez told the paper the man threw a cup at him and left and then returned later in the evening with another man.
Police received a call reporting the incident at 1.27 a.m., police said.
The four dead victims were found inside the bar, while the five wounded had fled outside moments after the gunfire, according to the spokesperson, who said a police investigation is continuing.
The dead ranged in age from 20s to late 50s. All were Latino men, but police don't believe the crime was racially motivated.
Mexico's Foreign Affairs secretary Marcelo Ebrard said on Twitter that two of those killed were Mexicans.
"We extend the deepest condolences of the Government of Mexico to their relatives and friends. Their families will have our support," he said.
The five wounded are in stable condition.
Agents from the Bureau of Alcohol, Tobacco, Firearms and Explosives, an arm of the Justice Department, were also responding to the shooting, according to a statement posted on Twitter.
Sunday's shooting was the city's deadliest in recent years.
In 2014, white supremacist Frazier Glenn Miller Jr. killed three people in shootings at Jewish centres in the Kansas City suburb of Overland Park.
( With inputs from IANS )