And they realized his intentions when? Most likely just before he hit the building. And they should have shot him down with what? It was a Coast Guard helo that was following him, and likely it wasn't armed.
Let's imagine for a minute that the helo was armed, most likely with M-60s. The crew pulls alongside the aircraft and begins firing short, controlled bursts. Not all the rounds are going to hit the aircraft, some will fall into the city below, possibly causing death or injury on the ground. Now, they've killed the pilot, the aircraft wings over into the neighborhood below, possibly causing more death, injuries and damage.
Maybe they should have launched F-15s or F-16s to intercept him. Even more potential for additional damage. Seeing as how the Cessna can fly well below the stall speeds of the fighters, they would have been hardpressed to maintain contact with him (maybe that's why they sent a helo). How easy would it have been to get an infrared lock on the Cessna engine? Probably pretty difficult, and a radar lock against a low-level aircraft is a difficult thing too, especially when you're talking about trying to lock up a Cessna. So, maybe you're locked, maybe you're not, and you launch a missile, only to watch it lose the lock and go into the ground. Not good. But hey...we've got guns. Twenty millimeter cannons, in fact. So, out of the 20 round burst you fire, 10 of the rounds hit the Cessna and shred it. It falls apart and into a neighborhood. The other ten rounds continue on into the city a couple miles away. Oh, and the first ten rounds...a few of them continue on as well, because that Cessna barely slowed them down.