Accurate wind pressure analysis on high‐rise buildings is critical for wind load prediction. However, traditional methods struggle with the inherent complexity and multiscale nature of these data. Furthermore, the high cost and practical limitations of deploying extensive sensor networks restrict the data collection capabilities. This study addresses these limitations by introducing a novel framework for optimal sensor placement on high‐rise buildings. The framework leverages the strengths of multiresolution dynamic mode decomposition (mrDMD) for feature extraction and incorporates a novel regularization term within an existing sensor placement algorithm under constraints. This innovative term enables the algorithm to consider real‐world system constraints during sensor selection, leading to a more practical and efficient solution for wind pressure analysis. mrDMD effectively analyzes the multiscale features of wind pressure data. The extracted mrDMD modes, combined with the enhanced constrained QR decomposition technique, guide the selection of informative sensor locations. This approach minimizes the required number of sensors while ensuring accurate pressure field reconstruction and adhering to real‐world placement constraints. The effectiveness of this method is validated using data from a scaled building model tested in a wind tunnel. This approach has the potential to revolutionize wind pressure analysis for high‐rise buildings, paving the way for advancements in digital twins, real‐time monitoring, and risk assessment of wind loads.