Police arrived at the representative office of the agency around 11:00 GMT on Thursday and are still on duty.
The terrorist alert level in France's Ile-de-France region was raised to the highest on Wednesday following the attack on the office of Charlie Hebdo magazine, when alleged Islamic extremists killed 12 people and injured 11 others. A nationwide manhunt has been launched for the gunmen.
The satirical magazine previously received several threats from radical Islamists over its publication of caricatures of Prophet Muhammad. Among the most recent posts on Charlie Hebdo's Twitter before the attack was a cartoon mocking Abu Bakr Baghdadi, the leader of the Islamic State militant group.
Thursday has been declared a day of national mourning. National flags will be lowered for three days.