Crowds of nearby workers and members of the public were gathered on the footpath opposite the building trying to find out what had happened.
Police officers could be seen walking through the building and on its roof.
Witnesses at the scene said the woman had been wearing grey trackpants and sneakers.
In a statement, Sharp Tudhope Lawyers general manager Peter Wilson said staff were shocked and deeply saddened by the incident that happened at their premises.
"A woman died after falling from the fourth floor of our building. She was not immediately known to us, but our thoughts and sympathies are with her next of kin."
Mr Wilson said the company was focused on supporting its staff and was working alongside the police.
"As this case is under police investigation and before the coroner, we are unable to comment any further at this time. We are focused on supporting our staff, who have all been offered counselling."