The letter was received Monday and it warned all MPs and civil servants to stay away from parliament and from the government tomorrow, Tuesday.
A text message was sent out to all MPs informing them about the letter, which claimed somebody would attack the parliament building on Tuesday, tabloid Aftonbladet reported.
The parliament has confirmed to Swedish Television that a threatening letter was received, but referred media to Säpo, whose head of press, Sirpa Franzén, told Aftonbladet:
"We at Säpo, among many others, have received a threatening email this afternoon. We take all reported threats seriously and determine whether they need to be investigated further or whether they can be dismissed. "
Speaking to tabloid Expressen, Göran Forsell of the parliament's security department said: "A threat has been received, but I cannot comment further."
News agency TT reported that Swedish MPs have not been told to stay home on Tuesday and that parliamentary activity is expected to go on as usual.