The incident took place on Pius XII Square, adjacent to Bernini's colonnade, on Saturday afternoon, according to the newspaper Il Messaggero.
The man, who is awaiting a decision on his asylum application in Italy, began shouting "Allah Akbar" and threatened to burn himself alive, waving a lighter. He was visibly agitated and emotionally unstable.
Police officers who were on duty near the Vatican quickly detained him and took him to a nearby police station.
The migrant reportedly had neither a bottle nor a backpack that could contain fuel or an explosive. The operation to detain the man was conducted swiftly, causing no trouble for tourists and pilgrims, the newspaper added.