Nairobi police boss Anthony Kibuchi said preliminary investigations indicated that the deceased wanted to attack a supermarket in Eastleigh’s First Avenue, near the Moi Air Base.
“We suspect that the man wanted to attack a nearby supermarket before the grenade exploded by mistake,” he said.
“We confirm one fatality, it is too early to tell if there are others,” police spokesman Eric Kiraithe told the AFP news agency meanwhile.
Since Kenya invaded southern Somalia in October 2011 to help oust Al-Qaeda linked Al Shabaab insurgents, it has seen a wave of grenade attacks and kidnappings of foreign tourists blamed on the Shabaab or their sympathisers.
The latest incident took place just hours before the US Secretary of State Hillary Clinton landed in Nairobi.
Clinton is scheduled to arrive at the Jomo Kenyatta International Airport at 8am on Saturday for meetings with President Mwai Kibaki, Prime Minister Raila Odinga and Chief Justice Willy Mutunga.
She will also hold talks with top Independent Electoral Commission officials led by Chairman Isaack Hassan at the InterContinental hotel from 1pm, after meeting with the Speaker of the National Assembly Kenneth Marende.
“The Secretary will meet President Kibaki, Prime Minister Odinga, and other government officials to emphasise her support for transparent, credible, non-violent national elections in 2013,” US State Department spokeswoman Victoria Nuland said.
Clinton arrived in South Sudan’s capital Juba on Friday, becoming the highest-ranking US official to visit the world’s newest nation, which split from former civil war foe Sudan last year.