The incident is believed to be workplace-related and there are still no indications that anyone has been shot.
More than 1,000 officers are keeping them contained in midtown.
Protesters at a rally in Southern California held by Donald Trump on Wednesday carried signs saying "Stop Nazi Trump" and "Make America Hate Again."
Authorities detected a shipment of methamphetamine hidden inside traditional Mexican toys in the state of Jalisco.
Quintonio LeGrier, 19, was killed early Saturday along neighbor Bettie Jones, 55.
One of them was on his day off and the other reported sick to the Judicial Police of Mexico City.
Mexico's governmental human rights commission recommended that prosecutors open criminal investigations into the deaths.
Police were on their way to break up a big crowd when gunfire erupted.
Most were involved in ticket resales.
Police Sgt. Javier Salazar says investigators believe the body was taken between the end of the funeral at 1:30 p.m. and when the mortuary was locked up at 4:30 p.m.