Last but one stage in the game. After taking the control, climb up to the skyscraper's top. When you'll stand in the highest place, some planes will start the attack. You can defend yourself by destroying them, but it won't save you from the destination... from tragic death.
After few shoots, Kong will become weaker. In the next cutscene, he'll look at Ann for the last time and then let go of the building. Consequence is obvious, Kong will be 'kidnapped' by New York's 'abyss'.