Officials are trying to uncover details of an Al Qaeda plot that is being called the most serious in years.
19 US Embassies and consulates are closed and Americans traveling overseas are being told to use caution.
The building will remain shut down until Saturday.
Intelligence agents recently intercepted the communications of senior Al Qaeda leaders suggesting a plot to attack western targets is underway.
There are not any specifics on where or when, but leaders say the threat is serious.
“This is probably one of the most specific and credible threats I have seen, perhaps since 9/11 and that is why everybody is taking this so seriously,” said Rep. Michael McCaul.
The threat is from Al Qaeda in the Arabian Peninsula, the same group that tried to blow up a plane headed for the US with an underwear bomb.