Help with final battle! (SPOILERS)

Ok so I have managed to kill two avatars, but the third one teleported inside a yellowish structure and I can't reach him. I couldn't destroy the building with grenades or rockets and he won't come out.

Is this a bug or part of the final battle's script and I should just keep on killing the reinforcements until.. how long? If so, please don't spoil me the ending :)

Otherwise I guess I will just have to reload an older save :(