He was unaware that the murderers were actually the people from whom he took his orders — Slitheen family members disguised as humans. When Mickey Smith had a Harpoon missile launched at the building, it was Price's job to get everyone out. When he warned the Slitheen out of costumes about the missile, he awkwardly apologised and left.
When the Ninth Doctor, Rose Tyler and Harriet Jones emerged from the wreckage of Downing Street, Harriet told Price to tell the United Nations to step down, and that the alien threat was over: the Slitheen being unable to both escape Downing Street and hide in their skin suits. (TV: World War Three)