This building is reported to be "a symbol of Milan, Italy’s financial capital"... sort of like the WTC in NYC. It is also the tallest building in Italy... sort of like the WTC in NYC. If you want to make a statement in Italy like you did in the U.S.A. - it sounds like this is the building to hit.
According to this thread, Islamics want to wipe out all non-Islamics, and start a holy war, etc. etc. etc. etc. So they hit a government building instead of the Vatican - okay, if it were terrorists, which nobody on this thread knows, even if they slept in a Holiday Inn Express or played a flight sim, why would they pass up the chance of taking out a spiritual symbol for almost a billion of the world's population?