As anger spilled over, protesters reportedly smashed the glass doors of the building. Protesters chanted "justice" and for the police officers allegedly implicated in the case to be brought to justice.
The protests were against two recent rape cases. In the first case, a 17-year-old girl accused four policemen of raping her in their patrol car in Azcapotzalco on Aug. 3.
In the second case, a 16-year-old girl said a policeman raped her in a museum in the city center.
According to officials, suspected police officers have been taken into custody as investigations develop. A police officer was arrested Thursday in connection with the second case.
The women protesters were armed with pink glitters and pray paints and when the Security Minister Jesus Orta Martinez attempted to approach the protesters, they covered him with the pink glitter.
Violence against women is a persistent problem in Mexico, a conservative Catholic country where machismo reigns and traditional concepts of gender are deeply entrenched.
More than 1,100 women were murdered in Mexico from January through May, according to government figures, with nearly 370 killed by men because of their gender. Mexico City alone has seen 81 murders of women and 13 femicides so far this year, government data showed.
This year around 9,000 rape cases were reported in Mexico. However, activists say that over half-a-million cases of sexual abuse take place in Mexico every year but the distrust in police deters them from reporting.