The incident occurred late Saturday in Kizlyar town.
The body of the man, identified as a 30-year old resident of Dagestan, was found at the explosion site.
A submachine gun, two grenades and the fragments of a suicide bomber vest were found near him, the police said.
The man was found near a railway station and a filling station, the police said.
Russia has been fighting terrorists in its volatile southern republics for over a decade.
Terrorist attacks are common in the mainly-Muslim region and regularly stray to the Russian capital.
Deccan Herald is on WhatsApp Channels| Join now for Breaking News & Editor's Picks