"Ack! Someone mailed my show white powder & claimed it was anthrax. I'm not a big fan of that sort of thing," Ferguson tweeted.
The Tuesday incident happened mere days after authorities began investigating death threats against CBS comedian David Letterman, ew.com reported.
After officials called to the set determined the powder was harmless, the day's taping was late getting under way, but with rich material.
"It started out like any other day. I come into the studio, I have my nap, I fire someone, I then get a massage from the person I fired, I re-hire them. But today someone sent here an envelope packed with white powder. And I was like, 'Ooh, I'll test it for you if you want! I have a special test that I conducted between 1979 and 1992'"
Jokes aside, the comedian was also unnerved, ew.com said.
"It's a very scary situation," Ferguson said.