Security forces would "challenge, in accordance with the law, any gathering or incitement" to protest, the interior ministry said in a statement.
Dozens were also wounded after police on Tuesday opened fire on a demonstration in Diraz, the scene of a long-running sit-in outside the home of cleric Isa Qassim.
The ministry identified four of the five protesters killed in Wednesday's statement, and said 31 members of the security forces were wounded.
Police arrested 286 "wanted persons", including at least 11 prison escapees, the ministry said.
It said the sit-in had become a refuge for "wanted persons and fugitives".
The Sunni-ruled kingdom has been rocked by unrest since 2011, when local authorities backed by a Saudi military force crushed Shiite-led protests demanding a constitutional monarchy and an elected prime minister.
Authorities have accused Qassim, who was sentenced on Sunday to a suspended one-year jail term for illegal fund-raising and money laundering, of serving "foreign interests" and promoting "sectarianism and violence".
A court last year stripped him of his citizenship, sparking repeated sit-ins outside his residence in Diraz.
A Manama court on Wednesday deprived three more Shiite Bahrainis of their citizenship and sentenced them to time in jail over forming "a terrorist cell linked to Iran", a judicial source said.
Two of the three defendants were in Iran at the time of the sentencing, the source said.
Bahraini authorities have accused Iran of fomenting unrest in the kingdom, but Tehran has consistently denied involvement.
- Riyadh supports Manama -
Saudi Arabia on Wednesday defended the actions of Bahraini authorities in opening fire on the protest.
The security of Bahrain "is an integral part" of Saudi security, the official Saudi Press Agency quoted a source in Riyadh's foreign ministry as saying.
"The source affirmed the support of the Kingdom of Saudi Arabia for the measures being taken", including in Diraz, to "address all terrorist attempts aimed at destabilising and damaging" security and order, the source said.
Bahrain is located just across a causeway from Saudi Arabia, most of whose Shiite minority live on the Gulf coast or other eastern communities.
The Bahraini clampdown on dissent has drawn harsh condemnation from international rights groups and governments.
Amnesty International has called for an independent investigation into the use by authorities on Tuesday of "excessive force" against protesters it said were mostly peaceful.
A US State Department official said Washington was "concerned" by the reports of protesters killed and was following events in Bahrain very closely.
Iranian Foreign Minister Mohammad Javad Zarif, meanwhile, said the deadly crackdown by Bahraini forces on protesters was the "first concrete result" of US President Donald Trump "cozying up to despots" in Saudi Arabia.
The tiny Gulf state is a key regional ally of the United States and is home to its Fifth Fleet, but the administration of former president Barack Obama often scolded Manama over rights concerns.
However Trump made a clear break from previous US policy at the weekend when he told Bahrain's King Hamad in Saudi Arabia there "has been a little strain but there won't be strain with this administration".