The 61-year-old man, who ran a shop in the northern Spanish city of Pamplona, died on Saturday after being taken to hospital.
He had refused a request by the policeman's wife to hang a black ribbon in his bakery as many other stores had done to commemorate the 200 people killed in Thursday's train blasts.
He did so because he belonged to an association of parents of youths suspected of links to the Basque separatist group ETA, initially blamed by the government for the attacks.
The woman ran upstairs to her nearby apartment to tell her husband, who came down and shot the baker. The policeman was arrested.
Suspicion against ETA had provoked assaults on jailed members immediately after the blasts, but those stopped once clues emerged suggesting Islamist fighters could be behind the attacks.
Batasuna, a banned political party tied to ETA, called for demonstrations on Sunday to protest against the baker's death.
The baker was the "201st victim" of the Madrid attacks, a Batasuna leader said.