A note was found on the person of the dead businessman, the police said.
Sanjeev Radheshyam Rajpal (45), a businessman had come to Thane on January 8 and stayed in the Maurya Residency Hotel near the station and occupied room number 201.
He was supposed to vacate the hotel on Thursday, the hotel's management told the police.
When the hotel staff called his room in the morning, there was no response from the other side.
The police said that they found a letter on his person addressed to his family stating that he had suffered losses due to gambling and had hence ended his life.
The police sent the body for postmortem and are trying to find out if he owned a licence for his revolver.
Senior police inspector C N Thorat of the Thane Nagar police station who probing the case said that a case of accidental death has been registered in connection with the incident occurred before 2.30 pm today or last night.
