The 77-year-old retired pharmacist killed himself in busy Syntagma Square, just 100 metres from the Greek parliament, which for two years has been the main rallying point for protests against the austerity measures designed to haul Greece from its fiscal crisis.
"It's tragic that one of our citizens has taken his own life. In these difficult moments for our society, government and citizens, we must support people who find themselves in distress," said Prime Minister Lucas Papademos in a statement.
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Hundreds of demonstrators gathered in the square outside parliament on Wednesday evening, the scene of many large protests in recent months.
Violence erupted, with petrol bombs hurled at police, who fired tear gas in response.
Earlier, people left flowers, candles and handwritten messages at the foot of a cypress tree. Some of the notes called for an "uprising of the people".
"Rise up, your fate will be all of ours," said one.
"May this death be the last of an innocent citizen. I hope the next victims will be the treacherous politicians," said another.
Most of the demonstrators gathered silently and refused to speak to the media, though some chanted the word "murderers".
Police closed the street in front of parliament.
The man, whose identity has not been released, shot himself in mid-rush hour, just before 9:00 am (0600 GMT), outside the Syntagma metro station.
Police said a suicide note had been found in the man's pocket, but did not disclose what it said.
News reports said the note accused the government of leaving the man in penury and compared the administration to the regime imposed by Greece's Nazi German occupiers in 1941.
Witnesses heard the man cry out that he did not want to leave his children in debt, according to media reports.
The head of the association of Athens pharmacists told news website newsit.gr the man had been a pharmacist until 1994, when he sold his business.
Police said they had opened an investigation into his motives. Another police source said the man had cancer.
Government spokesman Pantelis Kapsis called the suicide a "human tragedy" and said "the exact circumstances" were unknown.
The incident had inevitable political reverberations in a country gearing up for parliamentary elections expected in early May.
"I'm shaking. Unfortunately it's not the first victim. We have a record suicide rate. We need to rescue Greeks from their hopelessness," said Antonis Samaras, head of New Democracy, the conservative party that is leading in polls.
Evangelos Venizelos, head of the socialist Pasok party that holds a majority in the coalition government, called on colleagues to refrain from "political commentary" on the incident.
"We need to reflect on the country's situation and show solidarity and togetherness," he said.
Depression and suicides have increased in Greece amid a crisis that has sent unemployment soaring and salaries and pensions plummeting, though the country's suicide rate is lower than the European average.
In 2009, it stood at three per 100,000 people, about a third lower than the European average, according to Eurostat.
Hundreds of thousands of Greeks have lost their jobs in the last year, and unemployment currently tops one million, a quarter of the workforce.
Authorities have been applying a tough economic overhaul since 2010, when Greece was forced to appeal to the EU and the IMF for bailout loans after its borrowing costs hit the roof.
To secure loan payments, Greece has been forced to drastically cut state spending and has slashed civil servant salaries and pensions by up to 40 percent.
