More than 90 others were wounded.
The man was held in Bayingolin prefecture, to the south of Urumqi. The other four suspects died in the attack, officials told Xinhua.
The authorities have announced a one-year campaign against militant violence in Xinjiang province, home to the Muslim Uighur minority.
Two vehicles drove into crowds at a market in Urumqi and threw explosives in Thursday's attack. One of the vehicles then blew up.
Previous reports had suggested all five suspects had died in the attack.
Xinhua quoted police as saying the men took part in "illegal religious activities" and "watched and listened to terrorist violence video and audio materials".
Xinjiang has seen a spate of attacks in recent years.
Beijing has blamed these - and other recent mass-casualty attacks - on Uighur separatists.
These include an attack in Beijing, where a car ploughed into pedestrians in Tiananmen Square, killing five people, and attacks at railway stations in Urumqi and Kunming.
China says it is pouring money into the Xinjiang region, but some Uighurs say their traditions and freedoms are being crushed.
Authorities in China say they have held a suspect over Thursday's attack on a market in Urumqi in Xinjiang province in which 39 people died.