Armed officers cordoned off the building located near the Somali capital's airport and arrested journalists inside in a raid that comes four days after the interior ministry ordered Radio Shabelle to leave the premises.
The interior ministry claims the building, which Radio Shabelle has used for four years, is government property.
"I saw some of the workers of the radio being forced onto a truck. They were taken to the criminal investigation department," said Osman Ayanle, a witness.
"Radio Shabelle has ignored and even rejected a letter from the interior ministry ordering them to leave the government building," a police officer said.
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The closure had "nothing to do with Radio Shabelle's current activities," the officer added. "We gave them the time to leave and they refused, that's the reason for the raid."
Radio Shabelle said its occupation of the building was legal and they had an agreement with the transport ministry. Before the widespread violence that broke out in Somalia in 1991 the building had belonged to a Somali airline.
"In that regard, we have decided to stay in the premises and resist the move, we will rather die inside the building instead of having been killed outside," it said.
The radio station said it also wanted to stay in the building because of its proximity to the airport, where security is high.
Somalia is one of the most dangerous countries in the world for journalists.
At least six media workers have been killed this year.
Attacks on journalists are often blamed on Islamist Shebab fighters battling the internationally backed government, but some are also believed to be linked to a settling of scores within the multiple factions in power.
In 2012 Radio Shabelle won the prize for press freedom awarded every year by RSF.