In The Mist (2007), a white fog covers a small town, and a number of residents take refuge in the local supermarket. But the fog stops at the glass windows, never seeping through the cracks around the doors, or later in the movie, through the broken windows or the opened garage door. Why?
I'm going to speculate that it's because the fog was not necessarily supernatural in nature and the supermarket had a climate control system.
Buildings in San Francisco don't get filled with fog even if they're surrounded by it.