The suspect sustained life-threatening injuries.
A police spokesperson told NBC News that "one woman has been taken hostage" but could not confirm if shots had been fired.
The woman was treated at the scene for "light" injuries, police said.
Police refused to speculate whether the incident was terror related, said DW's David Martin.
Deutsche Bahn said the station will be closed until further notice and all traffic - including long-distance - has been suspended.
- German police on October 15, 2018 closed down Cologne's central railway station to deal with what they called an ongoing "hostage situation".
There was a full evacuation of the station, one of Germany's biggest transport hubs.
Mr Gilles said specially trained officers were talking to the hostage taker, who had not been identified.
Two explosions were heard in the area during the hostage rescue not long after elite counter-terrorism team (SEK) rushed to the pharmacy building, NTV broadcaster reported.
Ambulances and heavily-armed police were lined up in wait behind the train station.
"The suspect is taken under control", Cologne police tweeted on Monday, but added the operation was still ongoing by the time the message was released.
Police negotiated with him in a bid to defuse the tense situation and ascertain his motive, then stormed the pharmacy around 3:00 pm (1300 GMT).