They said they had received an anonymous threat, two days after the killing of five police officers.
A nearby parking lot was searched for a "suspicious person" but no-one was found. SWAT officers were earlier deployed at the main building.
On Thursday, five white police officers were shot dead by a black man, Micah Johnson, during a protest rally.
The march was against the killing of black men by police. Two deaths this week have led to nationwide protests.
Dallas police said its officers - using dogs - searched the parking lot but the hunt turned up nothing.
In a statement earlier on Saturday, the police said: "The Dallas Police Department received an anonymous threat against law enforcement across the city and has taken precautionary measures to heighten security."
An armoured vehicle was moved close to the main HQ in central Dallas and heavily armed officers were seen nearby, according to the Associated Press news agency.
But it added that members of the public were still able to walk about freely around the building.
The police asked media to stop all live feeds around HQ "for the safety of our officers", the BBC's James Cook reports.
The shooting happened late on Thursday during the protest march.
Johnson, who was himself killed during the assault, supported black militant groups who encouraged violence against police.
Dallas police chief David Brown said Johnson had told a negotiator that he had wanted to kill white people, especially white police officers, because he was angry about the recent shootings of black men by police.
The attack came after the police killings of Philando Castile in Minnesota and Alton Sterling in Louisiana.
Earlier on Saturday, President Barack Obama said the US was "not as divided as some have suggested" in the wake of the shootings involving African-Americans.
He said Americans of "all races, all backgrounds", including many of those who were protesting, were outraged by the Dallas killings.
As well as the five police officers killed, another seven were injured on Thursday. Two civilians were also hurt.
Johnson, 25, who officials say acted alone, was killed by remotely detonated explosives that were sent into a car park where he had taken refuge after the shootings.
He was a member of the US Army Reserve from 2009 to 2015 who had served in Afghanistan.
Bomb-making material, rifles and a combat journal were found in his home in the Dallas suburb of Mesquite.
A number of gun attacks involving police officers and civilians have occurred in other parts of the US in the aftermath of the deaths in Minnesota and Louisiana.
Leaders of the Black Lives Matter organisation have condemned the Dallas killings but say planned marches, including a "Weekend of Rage" in Philadelphia, will go ahead.

If made law, the measure will put a 20% ceiling on any foreign stakes in Russian media, including those held indirectly through Russian partners.
Russia's main media outlets are state-owned or controlled by loyal oligarchs.
But top Putin ally Sergei Zheleznyak said Russia was facing "an information war unleashed against the country".
Russian TV news has accused the Ukrainian government of provoking clashes in eastern Ukraine through acts of aggression, including indiscriminate shelling of civilians.
The Kiev government blames pro-Russian separatists for the violence, and says Russia has fomented it by supplying soldiers and heavy weapons to the rebels.
The media bill is to go before Duma (lower house) deputies on 23 September, Itar-Tass news agency reports.
The restrictions would apply to magazines and internet publications as well as newspapers and broadcast media.
The bill is highly likely to become law as it was proposed by MPs who usually support the pro-Kremlin group United Russia.
BBC Monitoring reports that foreigners directly own stakes in some Russian mainstream media:

Bailey died after the incident at Cults Academy on 28 October.
The 16-year-old accused - who cannot be named for legal reasons - appeared in private at Aberdeen Sheriff Court.
The boy is also charged with having a blade or point on school premises. He made no plea, was fully committed and remanded in custody.
Special assemblies were held on Monday as pupils returned to classes for the first time since the incident.
Bailey's family issued a message of thanks for the support they have received.
Dallas police have given the all clear, hours after security levels were raised at their headquarters in the city.
[NEXT_CONCEPT]
A bill to restrict foreign ownership in Russia's media will soon go before the parliament, which is dominated by MPs loyal to President Vladimir Putin.
[NEXT_CONCEPT]
A teenage boy has appeared in court for a second time charged with murdering 16-year-old Bailey Gwynne, who was stabbed at his Aberdeen school.