The police said they were evacuating the building, which was occupied since Monday by pro-Russian demonstrators. (Agencies)
A police statement said the evacuation began after various reports that the building was booby-trapped with explosives.
Donetsk, home city of deposed president Viktor Yanukovich, is one of around a half dozen cities in eastern Ukraine that saw pro-Russian protests erupt on Saturday just as President Vladimir Putin was announcing that he had the right to invade.
Demonstrators, led by a man who declared himself "people's governor", have been holed up in the regional administration building, demanding relations with Kiev be severed and control over the police and security forces be placed in their hands.
Kiev accuses Moscow of organizing the protests and says many of the demonstrators are Russians based across the border to create an excuse for military intervention.
"A message was received at 8:30 (0630 GMT) from an unknown person that there is a grenade in the regional council building," said Police spokeswoman Olga Pochkalova.
"An investigative-operational team is checking and people are being led out of the building,” Pochkalova added.
Witnesses said the Russian flag on the roof of the 11-storey building was replaced with a Ukrainian flag but another Russian flag was still flying from a flagpole in front.
The police said they were evacuating the building, which was occupied since Monday by pro-Russian demonstrators.