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The incident came to light on Thursday after the decapitated body of the victim was found lying on the tracks.
The motive behind his extreme step is not yet known, the police said, but the man, identified as Rohit Pardeshi, left a video message on his phone which said nobody should be blamed for his death.
Inspector Dinkar Pingle of Kalyan Railway police station said a case of accidental death was registered and his body was sent for post-mortem.
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The message also said that he had nobody in the family except his younger brother and all the property should go to him, the police said.
The video message has also gone viral on social media websites, they said, adding that further investigation is on.