"(The guard) was found dead with gunshot wounds inside his sentry box located outside the home of Great Britain's military attache in the Kifisia (suburb)," police said in a statement.
While the motive of the attack was still unclear, officials investigating the case said the shells found at the site did not match any used in past "terrorist attacks." There were no other injuries.
"They (shells) are not identified as related to any other evidence of terrorist attacks of the same calibre," they said in a statement.
Police sources said the attack could be an act of ordinary crime, a view also taken by Public Order Minister George Voulgarakis.
"The possibility that it (shooting) is related to a terrorist attack is small," the minister told reporters.
As police cordoned off the street, the sentry box was lifted on a truck for further forensic tests.
Police said while his semi-automatic rifle had been removed, the guard still had a Beretta pistol in his right hand.
British embassy officials could not be reached for comment.
The British embassy in Athens has increased security for its diplomatic personnel since the murder of Saunders in June 2000.
Brigadier Saunders, gunned down on a busy Athens road on his way to work, was a victim of the radical leftist November 17 guerrilla group which was dismantled two years later.
November 17 and other smaller guerrilla groups regularly staged attacks on diplomats and their guards either at their homes or their cars.
The northern Athens suburb of Kifisia is one of the heavily guarded neighbourhoods of the capital where dozens of diplomats, politicians and high-profile entrepreneurs live.