It does have me quite curious. What's interesting is that it appears to be outside. I think that's the tunnel behind him, and you can see snow falling, as well as some snow collected near the floor.
My guesses are that either Dan follows Rorschach outside and watches as Manhattan kills him, or that this actually takes place inside, but after a giant Dr. Manhattan has broken through the window. If that's the case, and it takes place inside, it could be a reaction to a number of things.
My biggest fear is that when they show up, Veidt hasn't carried out the plan yet. There's some kind of fight, then Adrian hits the button, does it, and Dan screams. I dont like that idea a) because Veidt's supposed to be smart enough to have done it before they got there, and b) it gets rid of my favorite line, "i did it 35 minutes ago". Hopefully that's not the case.