There is tight security at the school, and visitors are patted down and screened for weapons, CBS News reported Sunday.
Sectarian violence, which has killed more than 80 people since the U.S. troop withdrawal in December, is now threatening Iraq's artists and intellectuals, the report said.
Ballet teacher Khada al-Tahy said she believes religious fundamentalists are at the source of the trouble.
"We don't respect the policemen, we don't respect the government. Nobody respects anything. I don't know what will happen to us, the artists," she said.
Radical Islamists routinely denounce many art forms, including ballet, which is considered unacceptable, the report said.