"A Piper plane has crashed into the building," an Italian police official said. He had no further details.
It was unclear if it was an accident or not. An Italian aviation official said the plane reported technical problems before hitting the skyscraper.
Since the September 11 hijacked airliner attacks on New York's World Trade Center and in Washington, Italy has been at the forefront of the U.S.-led war on terrorism in Europe.
Eyewitnesses reported hearing a loud explosion from the office block which houses the administrative offices of the local Lombardy region and sits next to the city's central train station.
"I heard a strange bang so I went to the windows and outside I saw the windows of the Pirelli building blown out and then I saw smoke coming from them," said Gianluca Liberto, an engineer who was working in the area. The building that was hit is known as the Pirelli skyscraper but the Italian tire and cable company does not operate from it.
It is one of the symbols of Milan, Italy's financial capital, and stands 400 feet tall. The city's stock exchange suspended share trading after the incident.
In October, U.S. officials said they believed Milan's Islamic Cultural Institute was al Qaeda's main European base. Muslim leaders in Italy have denied that charge.
Italy has arrested around 30 people on suspicion of links to extremist Islamic groups since September 11 and has frozen around $300 million of suspected assets.