"At 15:04hrs on Saturday, 11 December police were called to reports of a man with a firearm seen to enter a bank and bookmakers in the vicinity of Marloes Road, W8. The man was then seen to get into a vehicle and leave the area", the police said in a statement.
According to the release, about fifteen minutes later armed law enforcement officers stopped the suspect's vehicle, at the junction of Kensington Road and Palace Gate.
"Shots were fired and a man sustained gunshot wounds. The London Ambulance Service and London Air Ambulance were called and the man was treated at the scene. Despite the best efforts of the emergency services, he was pronounced dead at 16:08hrs", the police said.
There were some road closures in place in the area following the incident. It is not being treated as terrorism, the Metropolitan Police said.