Nekrasov had recently completed a documentary on his friend, assassinated writer Alexander Litvinenko, when he was warned through his family in Russia to avoid attacking the country in his films, The Times of London reported.
"I am concerned for my safety," Nekrasov said. "I do not know if it is safe for me to return to my home in St Petersburg."
The threat likely resulted from Nekrasov's film, "My Friend Sacha: A Very Russian Murder," in which the director details Litvinenko's death through radioactive poisoning, the report said.
The film is said to touch heavily upon the authoritarian reign of Russian President Vladmir Putin.
The Times said Nekrasov also likely garnered attention for his work on the upcoming BBC1 production, "Panorama, How to Poison a Spy."