Police are investigating after a "malicious communication" - reportedly containing a bullet - was sent to Queens Park Rangers' training ground.
The Met would not reveal the letter's contents or the intended recipient.
The Fulham Chronicle says the bullet was sent in a letter addressed to QPR defender Anton Ferdinand.
QPR play Chelsea in the FA Cup at Loftus Road on Saturday for the first time since John Terry was charged with racially abusing Ferdinand.
"We are investigating an allegation of malicious communication received today at QPR FC," police said.
QPR and Chelsea released a joint statement on Friday evening announcing that "full searches" would be carried out as spectators arrived for the match which kicks off at 1200 GMT.
"We would like to advise supporters from both QPR and Chelsea to arrive early at the stadium," the statement said.
"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."
Paul Finney from the Independent Rs QPR website told BBC Radio 5 live he was "surprised, shocked and disappointed" by the "malicious communication" allegation.
"These guys have got families and he [Ferdinand] doesn't want to go on to a football field tomorrow fearing for his safety," he said.
"I cannot understand anyone who would do such an act. Anton Ferdinand will need the support of everyone in the ground tomorrow. Football has to win tomorrow."
Earlier, it was revealed that defender Ferdinand, 26, was considering refusing to shake hands with Chelsea captain Terry before the fourth-round tie.
Advisors and QPR officials had told Ferdinand that shaking hands with Terry would be the best course of action.
Chelsea manager Andre Villas-Boas said earlier on Friday that it was "extremely important" that Ferdinand shakes Terry's hand.
"This game is based on good values more than anything else," he said. "These players should continue to promote these good values."
However, QPR boss Mark Hughes said he would not force Ferdinand into shaking Terry's hand.
"If he feels it is not appropriate - that has to be his own decision," he said. "It won't be influenced by myself or the club."
Terry's case is due to be heard on Wednesday 1 February at Westminster Magistrates. It was switched from west London at the request of the chief magistrate because of the profile of the case.
The England captain will not be attending the hearing. His legal team will enter a not guilty plea on his behalf.