A time bank.
(In reality it is the Los Angeles City Hall, the west side.)
This is digitally manipulated in the wide shot:
And the real-life view:
232 North Spring Street
Whey are they there? To rob it.
From the summary on Wikipedia:
Will and Sylvia continue robbing banks as part of their efforts to crash the system, while the rich attempt to cope with the sudden surge of people infiltrating their zone. In an end scene, they get out of the car whilst reloading their guns, "Told you there were larger banks" Sylvia tells a smiling Will, who replies "You almost lost your calling". Exhilarated they both run up the stairs towards the large building, armed and ready to continue the fight... and to live!
Will and Sylvia are giving the time capsules to the needy/poor.