Officers have released a photo of the individual, showing the man wearing green combat clothing and apparently holding a long object as he roams the streets of Whitefriars.
Firearms units, a helicopter and other officers responded to a number of alarmed calls at around 8:30am, but the man has not been seen since.
There have been no suggestions of threats to public safety.
The man is believed to have first been spotted by a taxi driver, who told a local paper: “I saw a man in the full combat clothing carrying a rifle in his right hand.
“I wasn’t sure if it was an imitation but I thought it was a bit strange.”
Chief Inspector Chris Spinks said officers are now trying to identify the man to “determine the nature of this incident”.
Read more: express.co.uk