Police say they cannot confirm if a man killed after being tasered while resisting arrest was involved in a the robbery of a Sydney convenience store.

Officers were called to a convenience store in The Rocks about 5:30am (AEDT) Sunday to respond to a robbery that was taking place.

A man matching the description of the alleged thief was later found in Pitt Street, where police used capsicum spray and a Taser to subdue him after he resisted arrest.

The man stopped breathing and could not be revived despite efforts from police and paramedics.

But metropolitan commander Mark Walton says it has yet to be confirmed whether the man was actually involved in the robbery.

"It's unclear as to the involvement of this man or the extent of that actual incident - whether it is a robbery or not," he said.

Police are now appealing for help to identify the man who investigators believe may have been from South America, was aged in his mid-20s to mid-30s with brown eyes and shoulder length curly brown hair.

Pitt Street has been cordoned off while police conduct a critical incident investigation which will be reviewed by members of the Professional Standards Command.

The NSW Council for Civil Liberties says this morning's death should prompt police to review their use of Tasers.

The president of the council, Cameron Murphy, says police should stop using Tasers until a coronial inquiry into the death is completed.

He says there needs to be more regulation over their use.

"This is a tragic incident that's occurred," he said.

"It clearly demonstrates that Tasers are not an alternative to the use of a lethal force.

"Tasers do in fact kill people and we need much more stringent controls in which they're deployed, which police use them and in what circumstances."

But Premier Barry O'Farrell says Tasers are a clear alternative to lethal force.

"Tasers versus gun is a clear choice, but I will wait for a report before I make any comments about that incident," he said.

Tasers were introduced into the NSW police force in 2009 as a non-lethal option to help officers subdue people during hostile situations.

Concerns about Tasers were raised in 2010 when police tasered a man armed with knives as they responded to reports of a sexual assault in Sydney's south-west.

The man died, but NSW Police Commission Andrew Scipione defended the officers' actions, saying one, if not both, of the responding officers could have been killed had they not acted.

Police are urging anyone with information, or who may have seen the man in the vicinity of King and Pitt streets, to call Crime Stoppers on 1800 333 000.