When Zimri saw that the city was captured, he entered the citadel of the royal palace and burned it down upon himself. So he died

1 Samuel 31:4
Then Saul said to his armor-bearer, "Draw your sword and run it through me, or these uncircumcised men will come and run me through and torture me!" But his armor-bearer was terrified and refused to do it. So Saul took his own sword and fell on it.

1 Samuel 31:5
When his armor-bearer saw that Saul was dead, he too fell on his own sword and died with him.

2 Samuel 17:23
When Ahithophel saw that his advice had not been followed, he saddled his donkey and set out for his house in his hometown. He put his affairs in order and hanged himself. So he died and was buried in his father's tomb.

1 Kings 16:17
Then Omri and all the Israelites marched up from Gibbethon and besieged Tirzah.

2 Kings 15:25
Then his officer, Pekah son of Remaliah, conspired against him along with Argob, Arieh, and fifty men of Gilead. And at the citadel of the king's palace in Samaria, Pekah struck down and killed Pekahiah and reigned in his place.

And it came to pass, when Zimri saw that the city was taken, that he went into the palace of the king's house, and burnt the king's house over him with fire, and died.