Six people were also injured in the blast which occurred at the site at the Mundells, Welwyn Garden City, Hertfordshire, at 3pm on Wednesday.
One is said to be in a critical condition, one is seriously hurt and four received minor injuries.
The injured were taken to the Queen Elizabeth II Hospital in the city.
A Hertfordshire Police spokesman said: "I can now confirm that one man has tragically died as a result of the incident.
An argon cylinder exploded inside a building still under construction.
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"His family has now been made aware and a trained officer is providing them with some support at this time.
"The operation at the scene has now reduced and the area is returning back to normality.'
The building is being built by construction firm Laing O'Rourke, however it has not confirmed who the client is.
Jon Smith, Group Commander of Hertfordshire Fire and Rescue, described the scene inside the warehouse building.
He said: "A cylinder of gas depressurised, there was no actual fire, the gas is inert, which acted like a missile and set off the other cylinders.
"Each cylinder weighs about 50kg and is about 5ft tall, they've made a real mess of the inside of the building, they've taken down walls and floors.
"They are argon cylinders which were actually being used as a fire suppressant in the building for the computer room.
"We've been working very closely with the police in our search, we tend to be a bit more rough and ready, but obviously they have to be more careful for evidential purposes."
(JM)
