The city's hate crimes unit is also probing the letter, which came to light as Jeter told "60 Minutes" he's experienced racism before. A law enforcement source told the New York Daily News the letter warns the 31-year-old to "stop or he'll be shot or set on fire."
Jeter is among a long list of well-known people being targeted, the newspaper said.
"The wording is very similar to letters that have been sent to other prominent people across the country," said FBI Special Agent Scott Wilson in Cleveland, which is investigating the case.
Other letters written by the racist have threatened to "castrate" and "burn" Supreme Court Associate Justice Clarence Thomas and his wife, Virginia. Others include married actors Taye Diggs and Idina Menzel, Miami Dolphin player Jason Taylor and tennis star James Blake's parents.