Arun (22) is pursuing a degree course through distance learning programme of Delhi University and had appeared for the tests but failed.
A senior police official said the youth was roaming near Yamuna river in Vikas Marg area when he sent the message to his brother in which he said he was a failure and would not come back.
"I am a failure. I will not come back. I am committing suicide," he was quoting as saying in the message.
Police said that his slippers have been found from the Vikas Marg area.
According to his family, he was under depression after the tests.
The brother informed the police after receiving the text message.
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"His cell phone was found switched off. We can't say what has happened. We are investigating," the official said.
Arun's father is in SSB and is posted at Nepal border.