The FCC later apologized.
"We apologized to Mr. Donnelly more than once and let him know that the FCC was on heightened alert ... based on several threats," FCC spokesman Brian Hart said in a statement.
The statement did not elaborate on the nature of the threats. It also did not address Donnelly's claims that the guards shadowed him despite his display of press credentials, a notepad and a recording device. The guards even waited for him outside the men's room, Donnelly claimed.
O'Rielly also apologized to Donnelly in a series of tweets, saying he didn't see the guards use any physical force but that he does not dispute Donnelly's account of what happened.
"I am very sorry this occurred," O'Rielly tweeted.
The incident comes amid concerns about press freedom and access to Trump administration officials. Last week, a West Virginia journalist was arrested after repeatedly asking Health and Human Services Secretary Tom Price a question.
The FCC commissioners were speaking after a meeting during which they voted to kick off the repeal of "net neutrality" rules designed to keep broadband providers from interfering with the internet.
"It is completely unacceptable to physically restrain a reporter who has done nothing wrong or force him or her to leave a public building as if a crime had been committed," National Press Club president Jeff Ballou said in a statement.
Follow Ben Nuckols on Twitter at https://twitter.com/APBenNuckols.