Sanjay Banerjee, a serving Deputy Commissioner of Police, along with his family, had gone for lunch at the Goa Portuguesa restaurant. There he used his service revolver to shoot himself, police said, adding that he had fired a couple of rounds.
He was declared dead on arrival at a hospital.
The reason for the suicide has not yet been ascertained, police said. Mr Banerjee's body has been sent to the Civil Hospital in Thane for post-mortem.
Mr Banerjee had joined the Maharashtra ATS in June last year.