Phillip Hunt, 58, lost £60,000 in a love scam before he was struck and killed by a train in August.
Although officers cannot say whether Mr Hunt intended to take his own life, suspicious circumstances have been ruled out.
Det Chief Insp Danny Snee, of British Transport Police, said that Mr Hunt, of St Catherine's Court, had left a note and documents detailing his financial difficulties. He was hit and killed by a train in Hessle, near Hull, on August 13.
"We know that Mr Hunt had met somebody claiming to be a woman from Nigeria on the internet and struck up a relationship," said Det Chief Insp Snee. "She was saying she wanted to come across and live with him and said she would bring a vast sum of money with her, in excess of £2-million.
"He was told there were some expenses in order to facilitate the transfer of money and began to lay out vast sums of money."
He added: "Mr Hunt took out a number of loans, overdrafts and also remortgaged his house to finance the alleged expenses.
"Sadly, by August 2009, the accumulation of Mr Hunt's debts, and the realisation that he may have been entrapped in a financial scam, is likely to have contributed to his death.
"We have decided to release this information because these scams are very prevalent and are happening right now.
"These people are absolutely ruthless and will take you for every penny you have. I would say if something sounds too good to be true, then it probably is.
"We can only imagine the devastating effect it had on Mr Hunt."
Neil Clark, principal trading standards office at North East Lincolnshire Council, said: "There are fake lotteries and prize draws, incredible schemes to make money quickly, fake investment plans, work from home schemes – the list goes on," he said.
"The people who run these scams are clever and sophisticated and they know how to persuade people to part with their cash.
"If you think you have been the victim of a scam, or you suspect a scam, call Consumer Direct for advice."
An inquest into Mr Hunt's death will take place early next year.
Contact Humberside Police on 0845 6060222, or Consumer Direct on 08454 04 05 06.