Interior Minister Panche Toshkovski said the blaze began about 2.30am on Sunday during a concert by a local pop group.
He said the young club goers used pyrotechnics that caused the roof to catch fire.
"Sparks caused fire … and fire spread through the discotheque," he said.
Videos showed chaos inside the night club, with young people running through the smoke as the musicians urged people to escape as quickly as possible.
"This is a difficult and very sad day for Macedonia," North Macedonia's Prime Minister Hristijan Mickoski wrote on X.
"The loss of so many young lives is irreparable, and the pain of the families, loved ones and friends is immeasurable.
"The people and the government will do everything in their power to at least slightly alleviate their pain and help them in these most difficult moments."
Family members have gathered in front of hospitals and Kocani's city offices begging authorities for more information.
Toshkovski said police have arrested one man, but did not provide details on the person's involvement.
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