QPR defender Anton Ferdinand has been sent an alleged "malicious communication" that is being investigated by the Metropolitan Police.
Scotland Yard are investigating after the Barclays Premier League club notified them of the communication.
Sources confirmed Ferdinand was the intended recipient, and though the content is yet to be officially disclosed there are reports it was a bullet.
QPR play Chelsea in an FA Cup fourth-round match at Loftus Road and the club advised supporters to arrive at the stadium early to undergo full searches.
"Ahead of Saturday'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," said an official club statement.
"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."