He has co-operated with detectives and is due to have a bullet removed from his body later on Monday.
The incident is Sydney's fourth shooting over the Easter long weekend.
Kings Cross Superintendent Sue Waites says it isn't clear what sparked Monday's violence.
"It seems like it occurred very quickly," she told reporters.
"Of course it's a concern. We don't want firearms taken to any of our premises. We'd like our licensed premises to be safe."
Police are reviewing CCTV footage of the incident in a bid to identify the gunman.
He fled the club and police have appealed for information about the incident.
It was not immediately clear what type of gun was used.
A witness told the ABC: "All we heard was bang, bang, bang, we turned around, we just seen someone running to a car and drive off."
Inspector Brad Thorne said the shooting was targeted but not linked to bikie or organised crime gangs.
Two Sydney men were shot in the legs in separate attacks on Saturday night, a 22-year-old man at Auburn and a 43-year-od man at Pendle Hill.
On Friday a 24-year-old man was shot in the legs at Merrylands.
Commenting on Monday morning's incident, Assistant Commissioner Frank Mennilli said: "Again it just shows the total disregard for anyone's safety or wellbeing.
"You've got persons in the premises with a firearm and quite happy to use it.
"We need these people off the streets."
-AAP
