"This is our last warning and I hope that the authorities will eventually understand who defended this country and who enabled them to have an easy life," Dzevad Razo, a representative of an association of war veterans, told the crowd.
When told that no government officials would meet them, many of the demonstrators turned violent and began attacking police and the building.
The action was in response to government plans to cut spending in order to meet conditions of a $1.62bn loan from the International Monetary Fund (IMF).
Under the deal, the government of Bosnia's two regions, the Muslim-Croat federation and the Serb Republic, have to cut public spending, and especially the generous benefits granted to veterans as a pre-election sweetener in 2006.
The federation parliament has passed tougher criteria for payments to groups related to the 1992-95 war, which accounted for 40 per cent of the region's budget.
The veterans, who fought in the Bosnian war that saw more than 100,000 people killed, are strongly opposed to the introduction of a property census as the main criterion for their payments, due to come into force in January 2011.
They want the same standard to apply to all budget beneficiaries, including state employees, which is not possible under the law.