Metropolitan Police officers were called after the document, which reportedly contained a death threat, arrived at the club's ground in west London last week.
The Sun said the contents of the letter were so graphic that QPR officials did not show it to the defender, who is at the centre of a race row involving John Terry and a spokesman for Scotland Yard said: "I can confirm that officers are investigating an allegation of malicious communication."
The letter was delivered by hand to Loftus Road last Friday, according to reports.
Ferdinand, 26, was the alleged victim of a racist comment made by Terry during QPR's Barclays Premier League home match with Chelsea last month.
The 30-year-old Blues and England captain denies the claims, which are being investigated by the Met and the Football Association.
Source: PA
Source: PA