Here in Cleveland, they used to say that about the Terminal Tower.
My guess is that its an ubran legend though.
I learned once in a physics class that a penny dropped from the empire state building could indeed have enough force to kill, PROVIDED wind resistance, the rotation of the penny etc are left out of the calculation. Apparently a penny may ahve about the same mass as about a .22 projectile, but I have some reservations about that.
What is apparently not disputed is that it could indeed be dangerous.