Police watch commander Randy Sater says 58-year-old Larry Graziano of Carol Stream set himself ablaze late Thursday outside the store in Bloomingdale. It was not immediately clear how he caught on fire, but Sater says lighter fluid was involved.
The Cook County Medical Examiner's office says Graziano was taken to a hospital and pronounced dead early Friday.
Sater says Graziano told police he "couldn't take it anymore."
Police say bystanders tried to help, but Graziano fought them off.
Wal-Mart spokesman Dan Fogleman says Graziano had been with the company for seven years and that he had no reported personnel issues.