According to the Copenhagen Police, a violent explosion shook the government building at Nordhavn Station at 10.15 p.m. on Tuesday.
Authorities appealed for witnesses to come forward.
"It is too early to say exactly who is behind the explosion. But we take it very seriously and already established a broad and comprehensive investigation last night. An attack like this we cannot or will not accept," Chief Police Inspector Jorgen Bergen Skov said in a statement cited by Efe news.
Danish Tax Minister Morten Bodskov told reporters that the incident was "completely unacceptable".
"This is not just a prank. It's a very, very violent explosion. Someone is behind this," Bodskov told Danish Broadcasting Corporation.
Police official Bergen Skov urged anyone who had seen anything suspicious in the area - or had any other relevant knowledge - to contact the Copenhagen Police.
Throughout the night, the police had been onsite with investigators and bomb dogs and several technical investigations had been carried out, the statement added.
So far no conclusions had been shared from these investigations.
This isn't the first time a Danish tax agency experienced an explosion. In 2003, another tax office in Osterbro, Copenhagen, shook the building after a steel plate box exploded.
( With inputs from IANS )