Merseyside Fire and Rescue Service said its officers were called to Special Ops Desert Storm on Borough Road, St Helens at about 17:00 BST.
A spokesman said six crews were at the site and that two people who had been seen entering the building had not yet been found.
The centre's Facebook page states that it closed in January.
Residents and businesses nearby have been advised to keep doors and windows shut.
Borough Road, Prescot Road and Eccleston Street have all been closed.
Two people have been reported missing after a "significant" blaze at a former paintball centre.