Interior Minister Pance Toskovski said initial reports suggested the fire started from sparks caused by pyrotechnic devices.
Speaking outside the Kocani police station, he said the sparks had hit the ceiling, which was made of highly flammable material.
Footage shows the band playing on stage when two flares go off, sparks then catch fire on the ceiling before rapidly spreading.
Video verified by the BBC shows people trying to extinguish the flames on the ceiling. It shows the club was still full and people appeared to be watching efforts to put out the fire, rather than leaving.
Marija Taseva, 20, told Channel 5 TV she was caught in a crush at the club as people rushed for the exits. She said she fell to the ground and was trampled in the chaos before managing to get out.
Her family were still searching for her 25-year-old sister, though, who had not been found in any local hospital - and may have been transferred to Skopje for treatment.
Kocani's hospital initially received 90 patients suffering severe burns.
The health minister said 18 remained in critical condition.
Kocani's hospital director Kristina Serafimova told local media that staff had struggled to identify patients due to a lack of ID cards. However she went on to say that those deceased were aged between of 14 and 24.
In a statement, the prime minister said the government was "fully mobilised and will do everything necessary to deal with the consequences and determine the causes of this tragedy."
One man has been arrested, the interior minister said without providing further details.
DNK was formed in 2002 and has topped the charts over the past decade.
Fifty-nine dead after North Macedonia nightclub fire
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