Police have cordoned off a central Wellington street after a woman plunged to her death from the Internal Affairs building in front of shocked witnesses.

Senior Sergeant John van den Heuvel said police were investigating the reasons for her fall around 10am and did not yet know how many floors she had fallen.

"We've got some very traumatised members of the public who have seen the lady fall or hit the ground."

Victim support would be offered to those people.

The woman, whose identity was not yet known but was believed to have been in her 20s, landed on the pavement outside a Gloria Jeans cafe on the corner of Lambton Quay and Waring Taylor Street.