He was identified as Pokkes Boonyok, 43, a taxi driver, according to the reports.
The attack occurred about 11.50pm at Suan Misakawan intersection on Ratchadamnoen Nok road.
Mr Pokkes and other security guards were on duty behind a bunker line at the intersection when gunmen on a pickup truck fired at them with assault rifles.
The gunmen then drove to Makawa Rangsan intersection and sprayed bullets and threw giant fire-crackers at the anti-government protesters there, before fleeing.
Mr Pokkes was shot twice in his torso and taken to Ramathibodi hospital.
Police were coordinating with co-leaders of the NSPTR for permission to inspect the incident scene as the rally site was declared a restricted area by the anti-Thaksin regime group.