Xinhua said Tan Yihui, a 25-year-old shoe shiner from southern Hunan province, set fire to himself in western Beijing.
A witness who called police saw Tan covered in gasoline and then saw him set himself on fire, Xinhua said. Police who arrived in three minutes found Tan still burning and put out the fire with extinguishers, but he was already dead, Xinhua said.
Police found a six-page letter near Tan's body explaining the act, Xinhua said. It did not say what those reasons were.
State-run television showed police covering a blackened body with a white sheet. It said Tan started practicing Falun Gong in 1997.
Tan was the sixth purported Falun Gong member to set fire to himself in Beijing in less than a month.
On Jan. 23, four women and a man soaked themselves with gasoline and set themselves on fire in Tiananmen Square. One woman died. The four injured included a 12-year-old girl, state media said.
Two other purported followers who planned to take part in the group suicide were stopped by police before they could set fire to themselves, state media said.
Falun Gong representatives in the United States have denied that the seven were genuine practitioners, saying the sect's philosophies forbid killing, including suicide.
There was no immediate comment from Falun Gong, also known as Falun Dafna, about the new immolation.
China's government has used the self-immolations to support its claims that Falun Gong is an evil cult and to whip up public backing for its relentless and sometimes brutal 19-month crackdown on the sect.