First appeared in Asimov's. Up for an Asimov's Reader's Poll award.
The building is called New York City Internal Security. They treat it cautiously, as police--as this sounds like another police organization. When they break out a megaphone to tell the police to come out, the police inside do likewise. It's a standoff. So Mitsopoulas decides to go inside and investigate, without his firearms. Both parties are convinced that the other is living in a different time stream. But it's worse than Mitsopoulas imagined. The organization's name indicates they have a slightly different agenda.
Worth checking out.