Conflict has raged in Ukraine for several months and pro-Russian rebels have previously stormed government buildings in Donetsk.
Shakhtar were rocked in July when six players refused to return to Ukraine amid safety concerns, while the club's Donbass Arena was damaged as a result of two explosions last month.
On Wednesday, Shakhtar confirmed their offices had been taken over, although it is not clear who is responsible.
A statement from the club's press office read: "FC Shakhtar’s office at 86a Artema St in Donetsk was occupied by armed men.
"Circumstances of the incident are being investigated."
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