The guard was identified as Michael Halton, 41, of Sayville in Suffolk County, New York, who was married with two children.
Michael McCann, the chief of UN security, told reporters that the exact cause of death was still under investigation.
He said he had invited New York police and the Federal Bureau of Investigation to help.
"There was no indication of trouble prior to today," McCann said of Halton, a senior officer whose body was found during a break in a third floor lounge often used by UN staff who bring their lunch to work.
The security guard had gone to the third floor area during a break and is believed to have taken his own life.
The area is often used on Friday evenings for parties for UN staff but is not used often during daytime hours.
All UN security officers are licensed to carry a weapon and go through a training programme, McCann said.