“We are in shock, we are in disbelief and above all we are immensely sad,” Bouffier said in a recorded statement.
Thomas Schaefer, 54, was found dead near a railway track on Saturday.
The Wiesbaden prosecution’s office said they believe he died by suicide.
The State Hesse is the home of Germany’s financial hub, Frankfurt.
In three months, coronavirus has killed over 30,000 people in 200 countries.