Agency in this sense means something like the power or capacity to act. See definition 2: http://www.merriam-webster.com/dictionary/agency

Capacity to act in the world is one meaning mentioned in this article: http://en.wikipedia.org/wiki/Agency_(philosophy) Agency is a term used by some religions. One church says that it is the gift to choose for ourselves. http://www.lds.org/topics/agency?lang=eng

I agree with Evelyn. That sentence sounds very unusual and I suspect the person said a different word and not agency. What was the context? Urgency would make sense and so would agencies.

Hi Jose, I might offer a totally different suggestion. I have never heard this kind of use for agency and I wonder if perhaps that person was using the word, "urgency". Many speakers might say the words similarly and if it is not your own language, perhaps you did not hear it correctly. So you might like to replay the conversation in your mind and see if this word works in the context of the speaker's meaning.