The man walked into the bank on the corner of Market and Castlereagh streets at 1.35pm, NSW Police said.

He threatened staff and an estimated 8 customers with a weapon, believed to have been a knife, and demanded money before fleeing empty-handed.

Witnesses told Nine News they were left "shaken up" and had seen the man "lunge" at bank workers.

"We tried not to scream. We tried to stay calm," one man said as he left the scene with police.

Fortunately no one was injured.

Emergency services were called once the man fled, but police were unable to find him despite searching the area. He remained on the run on Friday evening.

Acting Inspector Steve Hodges from the Sydney City Local Area Command said the attempted robbery was "very brazen".

"It's definitely not what you'd expect in the middle of the day in the middle of the city," Acting Inspector Hodges said.

Police have warned members of the public that the man - described as Caucasian, in his early 30s and wearing dark clothing - may still be armed and he should not be approached.

He was last seen heading east on Market Street towards Hyde Park.

Anyone who knows the man's whereabouts should call triple zero, police said.

The branch remained closed on Friday afternoon after police secured the area to set up a crime scene.

A Commonwealth Bank spokeswoman said staff would be supported after the incident.

"We can confirm that an incident occurred at one of our Sydney CBD branches today," the spokeswoman said.

"During any incident the safety and security of our people and customers is our priority. We are fully co-operating with the authorities to assist in their investigations. Our priority now is to ensure that our branch staff receive any support that they need."

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