Before heading to the construction site, you need to blend in. Drive to the marked clothes shop on your mini-map and change into the 'Worker' outfit. This outfit will allow you to enter the construction site without immediately raising suspicion, though you'll still need to cause a disturbance to start the riot. This is another instance where specific attire is required for mission progression.
The 'Worker' outfit is a blue jumpsuit. Once you've changed, exit the store and make your way to the construction site. It's advisable to have some weapons on hand, such as a pistol or a shotgun, as you'll be facing armed security guards.