You have to judge the nature and immediacy of the threat.
During the first Gulf War, I was the Facility Security Officer (clearance processing, document custodian, access control, security training, etc.) of a classified NASA contractor in Cleveland.
Shortly after the war started I was in the men's room around the corner from my office. Somebody came in and announced that everybody needed to leave the basement immediately.
Since the lab across the hall was building satellite hardware and dealt with hazardous materials, I figured there was a hazmat spill.
Arriving in the lobby, I encountered the entire company. Jokingly, I asked somebody I knew if it was a bomb threat. He answered, "Yes."
It turned out that my boss [for security] had been aware of a SERIES of bomb threats, of which he had neglected to notify me.
Having previously rejected my strong suggestion that the automatic unlocking of the employee door be suspended for the duration, my [idiot, Klansman] boss ordered everyone into the lobby... and ordered them to stay there. Having at least two braincells to rub together, I immediately perceived the target rich environment which this twit had created.
Later, I discovered that the fiasco had been precipitated by a bomb threat call to an engineer in the basement. The bomb was allegedly in his desk. The recipient immediately reported the threat, whereupon David Duke told him to LOOK IN HIS DESK FOR THE BOMB. The engineer told Duke where to go and announced that he was leaving for home forthwith.
The next day, I started carrying a briefcase to work. It contained a Series 70 Colt, several spare magazines and a ballistic vest. At the same time, I explained the situation to my boss for IT and told him that if anything happened, to come to my office in the basement... which sat behind a vault door.
At the time, not only were firearms banned in the facility, Ohio didn't have citizen concealed carry.
I decided that, faced with a tangible threat compounded by gross incompetence of management, my life (and those of others) was more important than either company policy or the Ohio Revised Code.
Nobody else can make such a decision for you.
PS - The employee door continued to unlock automatically for the entire duration of the War.
PPS - David Duke ordered me to cease cooperation with the FBI on an investigation of an employee who was an organizer for the Iraqi Baath Party.