QPR defender Anton Ferdinand has been sent an alleged "malicious communication" that is being investigated by the Metropolitan Police.
Scotland Yard on Friday night confirmed they are investigating after the Barclays Premier League club notified them of a package.
Sources confirmed Ferdinand was the intended recipient, however the contents remain undisclosed.
Reports that the package contained a bullet, or similar, have not been confirmed by the club or police. The Fulham Chronicle reported that a bullet was in the package.
A report that it contained a shotgun cartridge was denied by a source.
QPR play Chelsea in an FA Cup fourth-round match at Loftus Road on Saturday and the clubs on Friday night advised supporters to arrive at the stadium early to undergo full searches.
"Ahead of tomorrow's [Saturday] 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," said a shared statement from the two clubs released to Press Association Sport.
"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."
A spokesman for Scotland Yard said: "I can confirm we are investigating an allegation of malicious communication received today at QPR football club. Officers from Hammersmith and Fulham are investigating."