Three caravans and associated vehicles are in parking bays at the rear of the John Lewis store, off Greyhound Park Road, close to the Asda superstore.
Staff at Asda said police had attended on Saturday when the caravans arrived.
A Cheshire Police spokeswoman said: "At approximately 3.45pm on Saturday, February 18, officers were made aware of travellers setting up camp at a retail park on Greyhound Park Road in Chester. No offences have been committed."
The Chronicle has knocked on the caravan doors but there was no answer. Nobody from site owners at Land Securities was available for comment.