An Iranian national who set himself on fire outside the Department of Immigration near Sydney's Central Station was protesting a possible deportation, a witness said.

A man who witnessed the incident told the Nine Network that the 37-year-old man was screaming 'I want to stay.'

Detective Superintendent David Donohue however would not confirm if the man's protest was due to a possible deportation, apart from describing him as 'a deeply disturbed and upset individual.'

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Police were called to Lee Street after an Iranian national, 37, doused himself in petrol

'I'm not at liberty to discuss what his issues were, but he was protesting at the immigration department this afternoon and he's a person who suffers mental illness,' the detective told reporters in Sydney.

But he did say it was 'extremely concerning' that someone felt the need to stage such an action.

'As you'd appreciate, this could have been a lot worse had police not acted so quickly and put him out,' he said.

'At its highest, he would have killed himself.'

Another witness, who asked not to be identified, told AAP about 50 people lining up to have their passports done were evacuated from the immigration department's building as the incident unfolded.

'By the time he did it (set himself alight) they'd corralled him into the underpass so he wasn't really visible to everyone,' the woman said.

The sound of the man screaming was now stuck in her mind, she added.

'He was screaming in pain. A wailing, agony, uncontrolled screaming.

Emergency services extinguished the man immediately, stripped him of his clothes and loaded him into an ambulance, she added.

Det Supt Donohue said the man was unlikely to face charges.

The frustrated Iranian national had set himself on fire at about 1.30pm on Friday

A man set himself on fire outside the Department of Immigration near Sydney's Central Station

'We're more concerned about his mental health status and we'll be treating it as such,' he said.

Police was earlier called to Lee Street after the man doused himself in petrol at around 1.30pm on Friday.

Police negotiated with him for up to 10 minutes before he had set himself on fire.

Officers were ready with a fire extinguisher and Fire & Rescue NSW then doused the man in water.

The man suffered superficial burns to his thighs and is being treated in hospital.

The man lit himself on fire despite police attempts to negotiate with him on Friday afternoon

Officers were ready with a fire extinguisher and Fire& Rescue NSW doused the man in water

Det Supt Donohue told reporters in Sydney that the man was unlikely to face any charges

The man suffered superficial burns to his thighs and is being treated in hospital

A police officer stands at the scene in Lee Street near Sydney's Central Station on Friday