Scotland Yard said seven people were injured – including four builders – during the blast in the basement armoury which was being upgraded.
More than 100 police officers and 14 prisoners were evacuated from the building as the fire brigade tackled the resulting blaze.
A spokeswoman for Vinci Construction UK, said: “Vinci Construction UK is gravely concerned about the welfare and safety of the construction workers and others affected by this incident and has been working with all emergency services throughout the day to secure the scene of the incident.
“We are working with the HSE in their ongoing investigation to understand the cause of the explosion.”
Police described the incident as an “industrial accident” and said the armoury had been emptied to allow refurbishment work to proceed.