Exchange Plaza building manager John Bennett said he was unsure as to whether there was a siege, or whether police were simply investigating threats made against someone in the building.
He said no-one had been evacuated but the building was cordoned off and people were not being allowed to enter.
A stockbroker in the building reported the incident was on the 18th floor of the 40-storey building.
A spokeswoman for Victoria Petroleum, whose offices are on the 36th floor, said the company had only been informed that “there was limited use of the lifts”.
About 100 people are standing outside the Stock Exchange Plaza building.
Some workers have told of receiving an email to remain on their floor, while others were told there was a “security situation”.