About 400 Sweden fans spent the night in hotels under police protection after two Swedish people were shot dead in Brussels on Monday.
An evacuation of the stadium began at about 22:45 BST, with the last fans and staff leaving at 03:00 (04:00 local time).
The Sweden players have flown home and will now return to their clubs.
On Tuesday morning police in Brussels shot the attacker dead.
Speaking at a news conference on Tuesday, Belgium Prime Minister Alexander De Croo called the killings “a harrowing act of terrorism”.
In an update, the Swedish Football Association (SvFF) said it received news of the killings just before the start of Monday’s match, but the game started as Belgian authorities and police considered the King Baudouin Stadium – 5km (three miles) from the location of the shooting – “the safest place”.
Players and officials were told at half-time, with the score 1-1. Sweden captain and Manchester United defender Victor Lindelof said security put the team “at ease”.
“They explained that this is the safest place to be in Brussels,” he said.
Lindelof said he saw “no reason” to replay the game as Belgium have qualified for Euro 2024 and Sweden can no longer qualify.
It has not been confirmed whether the victims were in Brussels to watch the match, although SvFF chairman Fredrik Reinfeldt said: “What happened is a disgusting attack on innocent people who were going to a football match. We all feel enormous anger and sadness.”
The prosecutor on the case has said the likely motive was the nationality of the victims.