Acting Central District Commander Inspector Belinda Dewar it has been a distressing incident for all those involved.
"This has been a distressing incident for all those involved and our thoughts are with this man and his family," she said.
"We are mindful that an investigation into the circumstances is in the very early stages and as such we are not able to provide any further detail at this time."
The Independent Police Conduct Authority will be notified.
Police are asking anyone who witnessed the incident, or has CCTV footage that covers Oxford St, in the vicinity of No 47, to get in touch via 105 and quote file number 211221/5849.