"We are aware of the threat, it is also been brought to our attention," said Thomas Engberg at the Security Service (Säkerhetspolisen - Säpo) to the Expressen daily.
The threat was made on Sunday evening to SOS Alarm, Sweden's emergency response service.
The threat was made in Östersund in central Sweden and was immediately passed onto the police, the newspaper reported. The matter was forwarded to the security service.
"Our responsibility is the security of the central government and that means that we always assess threat and take appropriate protective measures based on the situation at hand," said Säpo press secretary Sirpa Franzén to news agency TT.
Franzén was however unable to give any details on the threat nor how they were working to deal with it.
"We are looking at the information which has come in and take measure and work with what there is, but we can't say anything about how we work," she said.
Fredrik Reinfeldt's press spokesperson, Robert Alenius, referred all inquiries to the the Security Service.
Håkan Juholt's press spokesperson, Ann Wolgers, also declined to comment on the report.
"We never comment on security issues," she told Expressen.