Reinfeldt was not home at the time, Sky News reported.
The guard was employed by a private security company that augments efforts by the Swedish Security Service known as Sapo, the report said. The man had security clearance to guard Sagerska Palace, the state residence for Sweden's prime minister.
The country is sensitive to security matters since the 1986 assassination of Prime Minister Olaf Palme, who was killed while out in public without any bodyguards. Swedish Foreign Minister Anna Lindh was stabbed to death in 2003, also without security present.
Friday's incident was not being investigated as a criminal matter, but a "suicide or workplace accident," police spokeswoman Towe Hagg said.