Danny, 57, was on his way to the gym when a man apparently locked himself into Willesden Sports Centre.
Police evacuated the centre when the man 'exposed' himself and threatened to harm members of the public.
At least ten police cars surrounded the sports centre in north west London.
Danny, who is taking part in the BBC dancing show this year, tweeted a video from the incident and said: "So I just turned up to go to the gym and this is what I was greeted with.
"You know what I mean. What’s going on?
"So apparently there’s a geezer or someone hold up in the gym and there’s a hostage negotiator being called for.
"So welcome to North West London."
He wrote alongside the video: "Incident NW London has thwarted my Dance preparation #Strictly #KensalRise #Harlesen #Willesden."
A spokesman said: ‘Police were called at 7.53am on Wednesday, August 29 to Willesden Sports Centre, following reports of a man exposing himself.
"The suspect, a 34-year-old man then jumped into the pool and threatened to harm officers and members of the public.
"All members of the public evacuated the pool and no one has suffered any injuries.
"Officers are concerned for the man’s welfare and remain at the scene. The centre remains closed."
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