No-one was reported injured in the incident.
The man, who identified himself to local media as Edgar Paz Morales, a former military official, asked for the media be brought to the scene.
He also demanded a meeting with Mexico's ambassador to Colombia, so that he could request asylum, AFP reported.
Local television images earlier showed him clutching a hand grenade in front of a group of hostages sitting in chairs.
He told local television channel City TV that the army was denying him a pension after 21 years of military service.
"I am a man who has fought for my country, but now it doesn't even acknowledge me," he also told Colombian radio.