The envelope was discovered Thursday at a post office in Milan, Italy's ANSA news agency reported.
Police said the envelope was put through an X-ray machine which confirmed it contained bullets and a powder.
There was no return address on the envelope, police said.
The incident came just days after an unemployed man shot and wounded two policemen outside government headquarters in Rome, Sky News reported.
The shooting happened as Italy's new cabinet was being sworn in.
One of the officers was shot in the leg and the other in the neck.