Jose Corona, a 32-year-old Albuquerque man, was working at the job site when witnesses said he fell through a hole in the roof, Farmington police Sgt. Robert Perez said.
The building is at 141 S. Browning Parkway.
Farmington police and paramedics responded to the scene at about 4:50 p.m. and found Corona bleeding heavily from his head, Perez said.
Corona was transported to San Juan Regional Medical Center where he died of his injuries at 6:30 p.m., Perez said.
"There was no sign of foul play," Perez said.
Farmington police notified the New Mexico Occupational Health and Safety Bureau.
The bureau has started an investigation into the death. The investigation is expected to take several weeks to complete before there will be an official report on the circumstances that led to Corona's death, said Jim Winchester, a bureau spokesman.
Corona was employed at High Desert Roofing, an Albuquerque business. He was laying insulation when he fell.
Bingham Construction of Marble Falls, Tex. was hired to build Tractor Supply Co. and the business hired High Desert Roofing to complete the roof, Perez said.
High Desert Roofing did not return calls for comment Wednesday. The business has been building commercial and residential roofs throughout New Mexico for 12 years, according to its website.