Relatives of Shamsher Khan (34) had assembled in front of Shivaji Park police station in the city's Dadar area and three tried to immolate themselves, said police officials.
Officials informed that Khan, who was arrested in connection with a murder in nearby Prabhadevi area in 2016, was found dead in police custody a few days later.
The gathering included Khan's wife, their three children and his brother, the official added.
"Following the immolation attempt, all of them were detained. Police confiscated a bottle containing kerosene and a knife from them. The family members were released later," the official said.
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