I'm guessing it is the simply brilliant decision to put the city's emergency command center smack dab at the center of a known terrorist target, meaning that the first thing they had to do on 9/11 was evacuate the emergency command center....
Other than have his picture taken a whole lot, that's about the only terrorism-related thing Rudy's really done.
It was put there because that is where the Feds were centered, including the ever clueless CIA.