
Perhaps that marker is more to show you how to play with other people, and for some reason they left out the option to play offline from that particular one. I think there's something weird about the co-op mission marker outside that tunnel too, because I came across another marker for the mission somewhere else in the city, and it did have the option to press square to play offline.

I was online when I did this, so I don't know how it would have behaved had I been offline entirely. I chose that and the mission started up, but I didn't actually play it. Then I went into the Progress Tracker to view the missions, and when viewing the same Heads Will Roll mission in that menu, it had the option to Play Offline.

I was ticked at needing a subscription just to play the co-op missions solo. The game said I needed a Playstation Plus subscription to access that feature. I pressed X to play, and it brought up a menu for buying a subscription to Playstation Plus. Starcraft had a pretty great campaign, and Blizzard promises Starcraft II. I thought there would be a Play Offline choice there, but there wasn't. I mean, that game has little more than a skirmish mode as its solo component.

I don't know if you have to be online, but I don't have Playstation Plus and walked up to the guy outside the tunnel as well to try to play that mission solo.
