The 73-year-old man set himself on fire on Tuesday near President Mahinda Rajapakse's tightly-guarded residence in Colombo, police spokesman Ajith Rohana said.
"He died in hospital overnight," Rohana said in a statement. "In a dying declaration, he said he was carrying out a suicide to protest the actions of (former UN rights chief) Navi Pillay.
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The claim could not be independently verified.
The United Nations Human Rights Council in March ordered an international investigation into the final months of Sri Lanka's war against separatist Tamil Tiger rebels who were crushed in May 2009.
Pillay had personally pressed for such an investigation. But Colombo has said it will not allow the UN to probe charges that its military killed up to 40,000 civilians during the battle against the Tamil Tiger rebels.
Colombo maintains that its troops did not commit war crimes.
The conflict with the Tigers lasted more than three decades and claimed more than 100,000 lives.
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