Ancona Police Chief Oreste Capocasa said the dead teenagers were three girls and two boys. The provincial capital of Ancona is the nearest big town.
About 35 other people were injured, 12 of whom were in serious condition, Mr Capocasa said.
"The cause [of the stampede] may have been the dispersal of a stinging substance, the young people fled and trampled over each other", the fire service department said on Twitter.
The report said authorities were investigating if emergency exits were working.
Nightclub patrons ran for the exits after someone sprayed a noxious substance similar to pepper spray.
The accident happened around 1:00am (00:00 GMT). The Lanterna Azzurra club was packed at the time and numerous injured suffered crushing wounds. According to Associated Press, one of the survivors said that some of the emergency exits were locked when the attendees tried to escape the building.
"We were dancing and waiting for the concert to start when we smelt this pungent odour", a 16-year-old boy who was taken to hospital told the media. "The bouncers were getting the persons out", one unidentified witness told RAI state radio.
"From the initial investigation we have verified that more tickets were sold than the place could hold" in terms of capacity, Col. Cristian Corrazza, commander of Ancona province's paramilitary police, was quoted as saying by the Italian news agency ANSA.