Question: I thought it would be so because the mass inside the earth would attract us however they would be at a larger distance than masses on the surface of the earth.

For example, consider having a tall building near the object. Would the effective force vector of the object be pointing into the center of the earth or deviated?

Answer: 
The force vector would only point towards the centre of the Earth if it were spherically symmetric and non-rotating (except perhaps at the equator or poles). There are significant deviations from this and local gravity can deviate by tenths of a degree from a line towards the centre of the Earth.

e.g. see <https://www.wolframalpha.com/widgets/view.jsp?id=e856809e0d522d3153e2e7e8ec263bf2>

I believe that the rotational effects (which are easily predicted) are usually somewhat bigger than the effects caused by local geography.

These deviations were used historically to estimate the [mean density of the Earth](https://en.wikipedia.org/wiki/Schiehallion_experiment) by Neville Maskelyne among others, who used the deviation of a plumbline caused by the mountain Schiehallion.
A [large skyscraper's mass](https://www.quora.com/How-much-does-a-skyscraper-weigh):

$$M=2.5\times 10^{8}\,\mathrm{kg}$$ 

For the benefit of the doubt, let's assume a centre-of-mass at the ground, and that you are standing at the building's wall, possibly 50 metres away.

$$r=50\,\mathrm{m}$$

The skyscrapers gravity on a $m=75\,\mathrm{kg}$ person is:

$$F\_{g,\text{skyscraper}}=G\frac{mM}{r^2}=0.0005\,\mathrm N$$

Compare this with the $F\_{g,\text{earth}}=mg=735\,\mathrm N$ gravity from Earth. The skyscraper is adding a perpendicular component, so the total force of gravity on the person is a vector, which now is slightly turned:

$$F\_g=\begin{pmatrix}735\\0.0005\end{pmatrix}\,\mathrm N$$

The angle in degrees between this vector $\begin{pmatrix}735\\0.0005\end{pmatrix}\,\mathrm N$ and the original vector $\begin{pmatrix}735\\0\end{pmatrix}\,\mathrm N$ is:

$$\theta=3.9\times 10^{-5} ~^\circ$$

This is a very, very small deflection. Just the fact that gravity from Earth does not pull directly to the centre due to uneven density, centrifugal effects, altitude etc., might far outweigh this tiny deflection.