Considering it's the roof, and you're training where people aren't generally supposed to go, cops can, may, and probably will stop you from training unless you explain the situation to them and see if you're allowed to train there in the first place. Prevention of troubles in the first place is usually a good idea.
Of course, there's usually not a 'no trespassing' sign, but even if you're on something like the roof of a bathroom building in a public park, cops will tell you to get down, irregardless of such a sign or not, and may make you train elsewhere.