Two are club owners and two are members of the band that was performing, the Brazilian news agency said.
The blaze is being called Brazil's deadliest in nearly five decades.
The BBC reported more than 50 of the victims are being buried on Monday. Brazil has declared three days of mourning for the nation.
More from GlobalPost: Brazil: Night club fire kills 231 (PHOTOS, VIDEO)
Survivors said the fire broke out at the Kiss night club in Santa Maria early Sunday morning, around 2 a.m., the Wall Street Journal reported.
According to the Journal, a "roman candle or emergency traffic flare" that was part of a band's performance "ignited a fire in the roof of the club.... Witnesses said either a musician or a security guard grabbed a fire extinguisher," but it was not working.
Police told the BBC that the club's owner and its security chief, as well as members of the band, Gurizada Fandangueira, were all being questioned.
Police said security guards "briefly delayed" those fleeing the club, demanding they pay their bar tabs first, USA Today reported.The first firefighters on the scene found bodies piled up at the exit.
"It was terrible inside — it was like one of those films of the Holocaust, bodies piled atop one another," police inspector Sandro Meinerz told USA Today. "We had to use trucks to remove them. It took about six hours to take the bodies away."
In addition, more than 100 others were injured.
On Monday, the first of the funerals for victims began before dawn, The New York Times reported.
Hundreds of caskets were lined up for burial at a nearby gym, USA Today said.