There are many ways to say this, but before I get into that we should discuss protocol.
As a matter of courtesy it's common to apologize for the intrusion before telling them to continue. This at least acknowledges that it was your fault, rather than just giving orders to everyone else.
Naturally, this depends on the power dynamic. When someone with higher status or authority enters a room (such as the office manager) it's reasonable for everyone to stop what they are doing and pay attention. These kind of power dynamics vary considerably between different cultures, organization types, and even between different companies. Often it's up to the person intruding to decide whether they want to first apologize, or even if any apology is appropriate.
That being said. When apologizing:
I'm sorry to interrupt you
Please pardon the intrusion.
I apologize for the interruption.
Excuse me, I didn't mean to interrupt.
and various others. To suggest everyone should continue what they are doing:
Don't mind me.
Don't let me interrupt you.
Please go on.
and various others.
"Please finish the sentence", however, feels a bit peremptory. It's an imperative that instructs the person to finish what they are saying and then stop to listen. Again, depending on the power dynamic, this may be appropriate if the person interrupting has something important to say. For example:
I'm sorry to stop you, but I have an announcement.