Chief Minister Manohar Parrikar was present in the lobby when the incident happened.
The guard was accompanying Jathar, a former legislator from Kankavli in Maharashtra.
"I have asked the police department to give a detailed report as to how the guard was allowed inside the Assembly complex with a gun," Sawant told PTI.
The incident happened at 6.30 pm when the Assembly was in session.
Sources said the police department has issued a show-cause notice to three policemen who were on duty.
The four-day-long Assembly session ended today.
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