Police said the man approached a police car and threatened an officer with a large machete about 12.30am.
Police, fearing for their safety, shot him.
It appeared the man was shot in the shoulder, Kehoe said.
"Using a firearm is a last resort for police. However some incidents require police to respond and act appropriately."
At this stage it appeared a single shot had been fired.
The 44-year-old died in an ambulance on the way to Wellington Hospital.
Kehoe said the incident was a "dynamic, confronting and dangerous situation" and police responded appropriately.
Kehoe said at this stage he was confident the officer acted "professionally, appropriately" and followed procedure.
The officer who shot the man was alone in his car at the time of the incident.
The man was known to police.
Kehoe said the officer would have had access to a taser but it was unclear why the officer hadn't used it before reaching for a firearm.
Earlier
Earlier, about 11.30am, police had been called to reports of a domestic incident between a man and a woman at a property in Waikanae on the Kapiti Coast.
When police arrived at the house they found the woman unharmed.
Police immediately gave the injured man first aid and called paramedics.
Police continued giving the man first aid before ambulance staff arrived, but he died at the scene.
Police had been conducting a scene examination near Mana Esplanade today.
More specific details about what happened would emerge as investigations continued.
Police recovered a machete and also found an air-rifle in the man's car.
The investigation was in its "very early stages", Kehoe said, and police were examining the scene.
"This was a confronting situation for the police involved and they are being supported by Wellington District police staff."
Wellington District police were supporting the officer who shot the man, as well as the woman involved in the domestic dispute.
"Tasers are one of the number of tactical options available to staff and situations require staff to make assessments of the threat they face, and firearms and tasers are both options."
The incident had been referred to the Independent Police Conduct Authority.
Another nearby officer witnessed the shooting.
Police have been in touch with the man's family and are supporting them.
"It's a very difficult time for all of those concerned."
Cordons
Earlier cordons have been erected near Mana Esplanade in Mana and a scene examination is now underway.
A resident in a nearby apartment block said the building had been in lockdown this morning and no one was allowed to leave their apartment.
She said she didn't hear or see anything last night.
Cordons have been set up on an access road behind a group of commercial buildings this morning and police will be examining the scene.
Red police tape is blocking both ends of the access road and officers are patrolling the cordon.
A woman this morning lifted the tape and tried to enter the cordon but was yelled at to stop by police. She told them she just wanted to go to the nearby New World supermarket and was escorted through.
A spokesman for the Sandbar near the scene said they had been advised by police not to speak to media.
A manager at another local bar the Supply Room said they were closed at the time of the incident, and everyone had left the building about 10 minutes before the shooting.
Police are also speaking with the man's family and are providing support.
Police said Wellington Acting District Commander, Superintendent Steve Kehoe, would release more details about the shooting at a media conference outside Wellington Central Police Station on Victoria St at 2pm.
Police shootings:
• Police shot a 24-year-old Christchurch man in the face after he pointed a gun at them in Woolston this month.
• A machete-wielding man was shot twice by police in Rotorua in July, 2016. Police Tasered him three times and pepper sprayed him before shooting him.
• Police fired several shots killing Nick Marshall, 36, in Hamilton in July last year. Police were searching a possible gang pad for methamphetamine when Marshall picked up a long-barrelled firearm and cocked it.
• Mike Taylor, 57, was fatally shot by police at his property on County Rd, Karangahake Gorge, in June last year.
• Pera Ariki Smiler, 25, was shot dead outside McDonald's in Upper Hutt in September 2015.
• David Cerven, 21, was shot dead in Myers Park, Auckland in August 2015.
