Egypt’s Cairo comes second with 10,200, with Nigeria’s Lagos third with 9,100.
The study defines millionaires as people with net assets worth at least $1m (£650,000).
It estimates there are close to 163,000 millionaires living in Africa, with a combined wealth of $670bn (£440bn).
The number of millionaires is rising fastest in Ghana’s capital, Accra, the report said, even though at the moment, with 2,300, it does not make the top five.
After Lagos, comes Cape Town with 8,900 and Nairobi with 6,200.