The video, posted on YouTube, shows three men in apparent Arab clothes holding guns and a picture of Thaksin, the Bangkok Post reported.
Police were quick to denounce the nearly 3-minute video as fake, saying they suspected it was done by members of an anti-government white-mask group.
"The people who made the video clip are nothing more than a group of people who want to bring down Thaksin," National Security Council Secretary-General Lt. Gen. Paradorn Pattanatabut said.
"When the video was uploaded, the white-mask people posted it on their Facebook pages and were having a good time criticising Thaksin."
The men in the video, speaking English, said they would kill Thaksin "to avenge the killing of Muslims in the south in 2004" when he was prime minister.
"We will get you any time, anywhere in the world," the speaker said.
Paradorn said al-Qaida has never been connected to problems in southern Thailand where a separatist insurgency has gripped the four provinces of Songkhla, Pattani, Yala and Narathiwat for about a decade.
Thaksin's initial reaction to the disturbances in 2002 was to say they had nothing to do with separatism and the perpetrators of violence had no ideology and were common criminals.
However, in a reversal in 2004, he declared martial law in the area as part of a fight against global terrorism.
Paradorn said the video was of poor quality compared to videos done by al-Qaida.
"The people who shot this video just hired people who look like Arabs and can speak Arabic to carry guns and stand in front of the camera. This isn't a difficult job," he said.
"Just by listening to the speakers in the video, they don't have the conviction of the al-Qaida group."
Thailand's Information and Communication Technology Ministry also said it will investigate the video.
The white mask group is associated with Thailand's V for Thailand anti-government group and is part of a wider white mask protest movement.
The masks are from the 2006 film V for Vendetta where one is worn by a lone anarchist, the BBC has reported. He uses Guy Fawkes as a role model in his quest to end the rule of a fictional fascist party in the United Kingdom.
White mask protesters wear a stylised white mask of Guy Fawkes, a Catholic who failed to blow up the British House of Lords in 1605.
White masks are believed to have been used first by the hacker-activist group Anonymous in 2008 during a protest against Scientology.
WikiLeaks founder Julian Assange attended the Occupy London Stock Exchange protest in May last year to make a speech wearing one of the masks, the BBC reported. But he took it off, reportedly at the insistence of the police.
The fake video comes only days after Thaksin's son uploaded a video of his father making a plea for national unity.
In the video, Thaksin, 64, called on the people of Thailand to "turn and talk to each other" and "create unity."
Thaksin, prime minister from 2001 until a coup led to his ouster in 2006, was sentenced in absentia to a two-year prison term in 2008 for abusing his authority by helping his wife buy state land at a discount. He has since been living in exile in Dubai.