Officers were alerted when the alarm at the Accessorize store in Regent Street was activated at 0020 am (0550 IST), BBC reported.
A cordon was set up around the building and negotiators were called in to speak with the man. After about five hours the man gave himself up, the report said.
Large parts of central London remained closed to commuters this morning as police wanted to ensure there was no threat to the public following the siege.
Before being arrested, the man, who was not identified, held up signs warning that he had explosives and made threats to harm himself, Daily Telegraph said.
Officers surrounded the building and cleared the surrounding area, which includes Regent Street, parts of Oxford Street and Piccadilly Circus, while they tried to make contact with the man, it said.
The man eventually gave himself up to officers and is now in custody. It was not known whether he actually had explosives with him or not.