The management of Arya Gurukul School, where the incident occurred, had hired the balloon seller for the annual sports day, they said.
"The man was filling the balloons with helium gas when suddenly the cylinder exploded this afternoon. The impact was so powerful that the victim was blown away in the blast and died on the spot," Thane city police spokesperson Gajanan Kabdule said.
The vendor was identified as R D Prasad and his body was sent for postmortem, he said.
A case has been registered in this connection and further investigation is underway, the Spokesperson said.