"Currently, the embassy is investigating the circumstances and causes of the death of M.D. Amar," the statement said.
On November 15, Amar tried to hang himself and was placed on life support, the US media Washington Post told after reviewing federal documents. He died in the immigration jail next week.
Amar spent almost a year at the detention facility for illegal immigrants, according to US media reports. He went on a hunger strike and also tried to commit suicide while waiting to be deported.