More than one hundred angry protesters gathered outside the police department after Ali Jabiri Alhouraysi's death.
According to the reports, Alhouraysi, had recently seen his Saudi citizenship stripped and was desperate about his life and work condition in the oil-rich country.
He killed himself on Wednesday after being unable to present his identification papers when he was searched by police.
The incident echoes the death of a Tunisian who set fire to himself as a protest in 2011, triggering revolution.
The death of Tunisian vegetable seller Muhammad Bouazizi helped spark protests that led to the toppling of Tunisian President Zine al-Abdine Ben Ali a week later, and is considered as one of the catalysts for the regional Arab Spring.
Like Mr Bouazizi, Mr Alhouraysi was a vegetable seller as well.