Queens Park Rangers have been sent a "malicious package", believed to be a bullet, addressed to defender Anton Ferdinand.
• Terry to start against QPR
The news comes on the eve of QPR's FA Cup meeting with Chelsea, which will see Ferdinand reunited with John Terry for the first time since he was allegedly subjected to racist abuse by the England captain in October last year.
"I can confirm we are investigating an allegation of malicious communication received today at Queens Park Rangers football club," read a statement from the Metropolitan Police on Friday night. "Officers from Hammersmith and Fulham are investigating."
The incident was serious enough for QPR and Chelsea to agree for "full searches" of spectators to be carried out before they enter Loftus Road for Saturday's game.
A joint statement from both clubs read: "Ahead of tomorrow's FA Cup fourth-round tie at Loftus Road, we would like to advise supporters from both QPR and Chelsea to arrive early at the stadium.
"Full searches will be carried out ahead of your entry to the ground, so please have your tickets to hand and be ready to be searched.
"Entry to the stadium will be permitted from 10.30am for the midday kick-off. We are asking for your full understanding and co-operation."
Ferdinand has reportedly spent £30,000 on personal security ahead of tomorrow's game, which was expected to see him face John Terry for the first time since the latter was charged with racially abusing the QPR defender, something Terry denies.
Both clubs had issued strongly-worded statements this week warning supporters they faced arrest, ejection and stadium bans were they to engage in racist behaviour during the match.
Ferdinand, meanwhile, had been reportedly agonising over whether to shake Terry's hand on Saturday, just four days before the latter is expected to enter a not-guilty plea to his racism charge at Westminster Magistrates Court.
Chelsea boss Andre Villas-Boas said it was "extremely important" the pair shook hands, while QPR counterpart Mark Hughes refused to add to the pressure on Ferdinand.