The charter flight appeared to have had a "catastrophic engine failure" shortly after taking off from the small Essendon Airport, said Victoria Police Assistant Commissioner Stephen Leane.
Everyone on board is believed dead.
"At this stage the advice we have is there are no fatalities other than on the aircraft itself," said the commissioner.
"Looking at the fireball, it is incredibly lucky that no-one was at the back of those stores or in the car park of the stores, that no one was even hurt."
The shopping centre was not open to the public at the time.