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The message was sent to the official email address of the RBI Governor on Thursday following which the authorities at the central bank alerted the police. The sender is yet to be unidentified, the official said.
Police have searched the premises and nothing suspicious has been found so far, he said.
In the email written in the Russian language, the sender claimed that an IED had been planted in the building and it would be activated remotely within five days, the official said.
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A case has been registered at Mata Ramabai Ambedkar Marg police station in south Mumbai, the official said, adding that an investigation is underway.