A spokesman for the Metropolitan Police confirmed that officers were called after the letter, which reportedly contained a death threat, was hand-delivered to the West London club's Loftus Road ground on Friday.
The Sun newspaper said the contents of the letter were so graphic that QPR officials decided not to show the letter to the player, who is involved in a row involving Terry.
"We can confirm that officers are investigating an allegation of malicious communication," a Scotland Yard spokesman said.
Ferdinand, 26, was the victim of an alleged racist comment made by Terry during a Premier League match two weeks ago.
Terry has denied he made any racist remarks but the case is being investigated by the English FA and the police.
Terry was called up by manager Fabio Capello when he named his squad on Sunday for England's friendlies against Spain and Sweden later this month.
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