There were no reports of shooting in the building but gunshots were fired outside the compound in Gaza City.
It was not immediately clear who opened fire.
The police chanted slogans to protest against the failure of the PA to bring the security situation under control.
"We want the Palestinian Authority to take a stand on Hamas. Our blood is flowing for the Authority and they are not doing anything," one officer dressed in black said.
A session of the Palestinian parliament was being held, but the protesting policemen did not enter the chamber.
The incident occurred a day after a Palestinian police commander and two civilian bystanders were killed in a street battle between policemen and Hamas fighters, highlighting armed chaos in the streets confronting President Mahmoud Abbas.
Abbas said on Monday that his security forces would not gloss over the clashes on Sunday.
Mahmoud Abbas: We will not
remain silent in the face of this
"We will not remain silent in the face of this," he told reporters at his office in the West Bank city of Ram Allah.
"This mob behavior, this chaos, must end."
The authority, he said, is "ready to use all means to prevent the public display of arms," which it banned several days ago.
Each side blamed the other for the clashes.
Palestinian police said the violence broke out after a carload of Hamas fighters had been stopped for flouting a new ban on weapons displays in public.
Aljazeera however has learned that Palestinian security sources said the incident began when a police patrol came across two people fighting at an ATM machine.
The dead were buried on Monday
When the security forces intervened, one of the men called for Hamas assistance and a grenade was thrown.
Hamas spokesman in Lebanon, Usama Hamdan, gave a different account.
He told Aljazeera that fighting broke out when the police came to arrest Muhammad Abd al-Aziz al-Rantissi, the son of the late Hamas leader Abd al-Aziz al-Rantissi, who was assassinated by Israel in 2004.
According to Hamdan, the police beat al-Rantissi, people in the neighbourhood gathered to protect him, and the police opened fire indiscriminately to disperse the crowd.
Al-Rantissi was unarmed when the police approached him, Hamas said.
Police said they had arrested one Hamas member and that their forces had been put on high alert.
Israel completed a withdrawal of settlers and soldiers from the Gaza Strip on 12 September after 38 years of occupation, but still maintains air and border control.