The victim, believed to be in her 20s, was pronounced dead at the scene after being struck by building debris in Hanover Square, Mayfair, shortly after 11.30am yesterday.
An air ambulance was sent and paramedics made extensive efforts to resuscitate the woman but she could not be saved.
Police also attended the scene, which remained cordoned off last night as investigations by officers and officials from the Health and Safety Executive were underway.
A yellow and white police forensics tent was put up at the scene outside 5 Hanover Square, and one witness from a nearby shop, who did not wish to be named, said workers in the building had been sent home.
Three workers having a cigarette break nearby said barricades had been in place around the building but these had been removed a few months ago.
One woman said: “We walk past there every day. It’s quite scary that it could have been any of us.”
A man who was delivering electrical cables to another building in the area in his van had made a 999 call.
“I heard this incredible loud bang, the guy next to me said ‘what the hell is that?’, pointing,” he added.
“I turned round and the frame was on the ground and I was hoping it was a coat underneath, but then I saw an arm.”
He said it took five of his colleagues and around five more workers from the area to lift a concrete frame off the woman.
“I realised it was a person underneath so I phoned 999. The operator asked me to go closer to the victim so I got off the back of my wagon and went over.
“There was a woman who said she was a doctor who wanted to perform CPR and there was somebody giving her mouth-to-mouth.”
The man said ambulance crews arrived around a minute or two later.
“I knew what the result would be because even if she had survived – how do you recover from that?”
Visibly distressed, he went on: “She was in exactly the wrong place at the wrong time.”
A Scotland Yard spokeswoman said: “At this stage it is believed an unknown object hit the woman.”
A Health and Safety Executive (HSE) spokeswoman said they were aware of the incident and were “making initial inquiries”.