Should I approach the Jehovah Witnesses loitering outside of my office?

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If you hear them actively saying harmful and threatening things, then calling them out on that would be OK in my opinion. Just for example, if they threatened someone with Hell, you could point out that they are threatening someone, not God. If God wants to deliver a threat, I'm sure he can do it himself.

But generally, unless they come to you, the chances of making any impact on them is probably zero.

They just sit there quietly. I don't see them as a threat, and I've never seen them approach people. But, equally, I'd hate to see anyone brainwashed. I know I won't convince a JW out on the street, and I'm probably not the most eloquent person.

Then don't do anything, and don't worry about the whole brainwashing thing. Pretty much the whole world finds JWs annoying.