Two women were rushed to hospital with severe burns
Three Iranians have set themselves on fire in Paris in protest against a mass round-up of Iranian opposition figures.
Police said that one woman had died from her burns, but were unable to give details about her identity.
French police detained 160 people on Tuesday in sweeps
against the People's Mujahideen - an armed opposition group.
Police suspect some of the group - classed as a terrorist organisation by the European Union and the United States - may have been planning attacks.
Elsewhere, police in the Swiss capital Berne prevented another man from setting himself on fire after dousing himself with petrol outside the French embassy.
And an Iranian man in London set himself on fire on Monday, suffering severe burns.
Anti-government demonstrations in Iran itself have entered their second week.
The self-immolations took place as dozens of people gathered outside the offices of the French domestic intelligence agency over Tuesday's detentions.
Protesters chanted slogans against the detentions, accusing the French authorities of a "shameful deal with the mullahs".
Tehran has been pressing the French authorities to take action against the group.
Demonstrators believe those being held include Maryam Rajavi, wife of the People's Mujahideen leader, Massoud Rajavi.
Well over $3m in cash as well as computers and communications equipment were also seized in the raids.
France says the raids on the People's Mujahideen - part of the National Council of Resistance of Iran (NCRI) - were the result of a three-year investigation.
Until recently, the group had its main armed bases within Iraq, but the US has been trying to disband the camps.
The BBC's Caroline Wyatt in Paris says there may have been fears in France that as a result, the armed group would shift more of its activities to Europe.