Security guards at the building quickly asked Steve-O, whose real name is Stephen Gilchrist Glover, to get off the piece of art.
Glover, who is known for pulling pranks and stunts, was in town over the weekend for a series of performances at The Laugh Shop.
"Why would they put this awesome jungle gym right in downtown Calgary if they didn't want me to climb to the top?" wrote the star on his Twitter and Facebook accounts.
The post has been liked more than 50,000 times on Facebook, and has been shared by thousands of users on Twitter.
H and R, the owners of the Bow building, confirmed Monday that security guards had indeed responded to Glover climbing the structure.
"It’s reckless and it’s irresponsible," said H and R spokesman Morten Paulsen.
"It’s disrespectful to a piece of art that Calgarians treasure."
Twitter user Dj Zona posted that he caught one of Glover's shows where the comedian promises to pull the stunt.
"That is awesome at your show last night you said you where going to do this and you really did you're the best man lol."
Steve-O arrested in Calgary in 2011
Glover caused a bit of a ruckus in Calgary once before. He was arrested at the Calgary International Airport in March 2011 in connection with a 2003 assault.
"They let me into Calgary! Last time I was here I sat in jail 15 hours," Glover tweeted when he arrived Wednesday.
Glover was charged after a performance at the University of Calgary in 2003. During his set, an audience member apparently jumped on stage and took a few swings at the performer.
It's alleged Glover then hit the man with an unidentified weapon.Suggest a correction