The investigations office said in a statement that police used a Taser on the distraught man after he had repeatedly stabbed himself outside a private home.
The man was taken into custody and transported to hospital after officers used a Taser to subdue him.
The man, whose name has not been released, died in hospital.
"At this point, we do not know what this man died from," said IIO spokesman Owen Court. "It's very, very early in the investigation, so we'll certainly be working with the coroner's service with this and hope to learn that from them."