Ten bodies were been recovered from the fire, which broke out in the southeastern city of San Felix, local fire chief Major Felido Jimenez told the state-run Bolivarian News Agency (ABN).
Some local authorities and media reported higher death tolls.
ABN said the remains of eight employees and an undetermined number of shoppers were trapped in the wreckage, while Union Radio reported at least 20 dead.
Antonio Rivero, a director with the national civil protection services, said five people were injured and indicated that the death toll would probably rise.
Five neighbouring stores packed with shoppers were destroyed in the fire, and Mr Rivero said other bodies could still be trapped inside those buildings.
Officials also said firefighters were unable to access certain areas as high temperatures and the threat of remaining weapons cartridges detonating caused difficulties.
It was not clear what set off the fireworks in the shop in downtown San Felix, about 500 kilometres southeast of Caracas.
Fireworks are popular, especially during year-end holidays, and readily available in Venezuela, even though their sale is prohibited.
Many vendors stash their caches in storerooms or boxes out of sight.
The government, however, has tried to crack down on the contraband amid frequent accidents leading to injuries, deaths and fires.