Police have confirmed that they are investigating a "malicious communication" complaint from Premier League side QPR.
The Fulham and Hammersmith Chronicle had reported on Friday evening that Rs defender Anton Ferdinand had received a bullet in the post.
The publication also reported that Ferdinand, brother of Manchester United defender Rio Ferdinand, has spent £30,000 on security for himself and his family leading up to Saturday's FA Cup fourth-round tie.
Rangers face the Blues for the first time since captain John Terry was alleged to have racially abused the former Sunderland player in the 1-0 win to the then-Neil Warnock managed Hoops.
The Metropolitan Police confirmed to Goal.com that they have received a complaint from QPR and are investigating: "We can confirm we have received a complaint of malicious communication today from Queens Park Rangers football club. Officers from Hammersmith are investigating."
On Wednesday, Terry will face a first hearing for a racially aggravated public order offence, although the 31-year-old strenuously denies the charge.
Both Chelsea and QPR have called for fans not to cause trouble in the cup match, with both Terry and Ferdinand likely to play at Loftus Road.