Mr Trump didn't give any details over the reference to Sweden or what incident this could have been referring to, but many speculated he was implying a terror attack had taken place.
Former Swedish Prime Minister Carl Bildt summed up the world's confusion in one tweet, asking what the US President "was smoking".
The Swedish foreign ministry revealed it had no idea what incident Mr Trump was referring to, Reuters reported.
Spokeswoman Catarina Axelsson said: "We have asked the question today to the state department. We are trying to get clarity."
The White House moved to clarify the situation today, saying Mr Trump was talking about rising crime and recent incidents in general and not referring to a specific incident.
Mr Trump later tweeted that the comment was in reference to a story on Fox News about immigration in Sweden.
No incident or attacks involving refugees have been reported in recent weeks across Sweden or elsewhere.
The Fox News Tucker Carlson Tonight show aired a segment about documentary maker Ami Horowitz and a film he had made about immigration and Sweden.
The documentary claimed Sweden's immigration policy was linked to a rise in crime, and claimed the government was attempting to cover-up the link.
It didn't mention a terror attack taking place in Sweden at the weekend.
However a security incident did take place last month. Three suspected Neo-Nazis were arrested after a Gothenburg Asylum centre was targeted in a bomb attack, leaving one person seriously injured.
Swedish police said the trio belonged to the Neo-Nazi group the Nordic Resistance Movement (NMR), which openly promotes racist and anti-Semitic views, The Independent reported.
Whatever Mr Trump meant, it didn't take long for Twitter to react, with many Swedes and others poking fun at his remarks using the hashtag #LastNightInSweden.
Others also compared it to the non-existent Bowling Green massacre gaffe.
Earlier this month, Mr Trump's senior adviser Kellyanne Conway said the media had failed to cover the "Bowling Green massacre" carried out by two Iraqi men in Kentucky six years ago.
She also claimed the so-called massacre was why Barack Obama had put a hold on refugees in 2011. She later said she meant to say "Bowling Green terrorists" rather than massacre.
