The protest, on the eve of Chinese New Year, left one woman dead and four people injured, Xinhua state news agency said.
The protest, on the eve of Chinese New Year, left one woman dead and four people injured, Xinhua state news agency said.
China outlawed the Falun Gong movement, which teaches meditation and exercise, in July 1999 after branding it an "evil cult".
The four women and one man reportedly set themselves on fire after dousing themselves in gasoline at 1440 (0640 GMT).
"Misled by the heresy of Li Hongzhi, a ringleader of the evil Falun Gong cult, five Falun Gong addicts tried to commit suicide by burning themselves on Tiananmen Square," Xinhua said.
The US network CNN quoted as saying that one man was seen being carried into a police van with severe burns on his face, while other bodies lay on the ground, shielded by a screen put up by police.
But a Falun Gong spokeswoman in Hong Kong said the alleged incident could not be linked with the group and might be part of a smear campaign by Beijing.
"Taking life is a sin. We don't even harm mosquitoes. Why should we harm ourselves?" she added.
Crackdown
Falun Gong members have held regular demonstrations in Tiananmen Square over the last 18 months to protest against the government ban.
Thousands of people have been arrested and organisers have received lengthy jail terms.
The movement also says more than 100 people have been beaten to death in custody - an allegation denied by the authorities.
China's handling of the protests is under extra scrutiny this year with Beijing hoping to be chosen to host the 2008 Olympics.
The International Olympic Committee is due in Beijing in February to assess the city's bid ahead of its decision in July.
Police in Beijing are currently bracing for a possible repeat of the mass protest last New Year's Day when thousands of Falun Gong practitioners descended on Tiananmen Square.
Falun Gong, which insists it has no political motives, says its teachings promote health and good citizenship.
But Beijing blames the group for the deaths of hundreds of followers by advising them not to seek medical treatment when ill.