Police are investigating an alleged "malicious communication" received by QPR, with reports suggesting a bullet was mailed to Anton Ferdinand.
Scotland Yard have confirmed they are looking into the matter after the 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 have advised supporters to arrive at the stadium early to undergo full searches.
"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," said a shared statement from the two clubs.
"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."
Ferdinand, 26, is the brother of Manchester United and England defender Rio Ferdinand and joined QPR from Sunderland last summer.
Saturday's game sees QPR play Chelsea for the first time since allegations emerged that John Terry used a racist slur against Ferdinand during October's Premier League match at Loftus Road.
England and Chelsea captain Terry has been charged with racially abusing Ferdinand and is expected to enter a not guilty plea at Westminster Magistrates Court on Wednesday, having repeatedly denied the charge against him.
QPR boss Mark Hughes has said it was entirely Ferdinand's decision whether to accept a pre-match handshake from Terry prior to Saturday's west London derby.
Hughes said on Friday afternoon: "If he feels it is not appropriate, that has to be his own decision.
"It won't be influenced by myself or the club."
Chelsea manager Andre Villas-Boas confirmed the matter had been discussed with Terry, who looks certain to offer his hand to Ferdinand.
Villas-Boas said: "Everybody has been having conversations, from the top, to the players, to the manager."
Hughes has played down reports Ferdinand had spent £30,000 on personal security to ensure a trouble-free journey to Loftus Road.
In a press conference he joked: "We're actually in a hotel tonight and travelling to the ground by coach so it is 30 grand he didn't have to spend."
Chelsea have already vowed to ban any fan found racially abusing Ferdinand from Stamford Bridge, including those who sing the now-notorious "Anton Ferdinand, you know what you are" chant.
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