Story highlights London's Metropolitan Police says man's death is not related to terrorism 
 
 Man had apparently failed to return to a local hospital, police say 
 
 It's unknown if Prince William and his family were at the palace at the time 
 
 (CNN) A man died after setting himself on fire Tuesday outside Kensington Palace, the London home of Prince William, Catherine, Duchess of Cambridge, and their two children, according to London police. 
 
 Police found the man ablaze near a garden gate outside the palace and pronounced him dead at the scene, a representative for London's Metropolitan Police said. 
 
 Kensington Palace declined to comment on the situation. 
 
 Police said a central London hospital called them shortly after midnight (7 p.m. ET Monday) when a man in their care failed to return to the facility. Police said they went to three addresses but failed to find the man, who was in his 40s. 
 
 Authorities later were called to an area near Kensington Gardens. There, shortly after 3 a.m. Tuesday, police said they found the man ablaze. They administered first aid at the scene, but the man was pronounced dead about 45 minutes later, police said. 
 
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 A man has died after being found on fire outside Kensington Palace in the early hours of Tuesday morning. 
 
 Police were called to the London home of the Duke and Duchess of Cambridge after receiving reports that a man was behaving suspiciously. On arrival officers found a man on fire. 
 
 The London ambulance service and the London fire brigade were called to the scene and the man was pronounced dead at 3.42am. It is understood that the incident is not being treated as suspicious and no one else is thought to have been involved. 
 
 A Met police spokesman said the force received a call from a central London hospital just after midnight on Tuesday after a man in its care had failed to return. 
 
 “Police carried out inquiries to trace this missing man at his home address and two associated addresses but the man, aged in his forties, was not present,” the spokesman said. “Subsequently, police in Kensington and Chelsea were called to an area near the locked parks of Kensington Palace at 3.06am following reports of a man behaving suspiciously. 
 
 “Officers attended and found a man, believed to be aged in his forties, ablaze. Inquiries are ongoing. This incident is not being treated as terrorist-related.” 
 
 A spokesman for the royal family said the duke and duchess were not at the palace on Monday night. They are believed to have been in Norfolk at the time of the incident.
– A man set himself on fire outside Kensington Palace on Tuesday and was pronounced dead at the scene, CNN reports. Police found the burning man around 3am near Kensington Gardens and attempted to administer medical care but were unable to save him. Prince William and his family, who live at the palace when they're in London, were not there at the time, the Guardian reports. The man, who was in his 40s, was in the care of a central London hospital and had been reported missing just after midnight after he didn't return to the facility.