Austria's Olympic Committee has handed an anonymous letter sent to two members of its Sochi Winter Olympics team to Interior Ministry officials in Vienna.
A report in the Krone paper claimed the letter had arrived with the threat of abducting skier Marlies Schild and skeleton racer Janine Flock.
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A statement read: "The Austrian Olympic Committee confirmed the receipt of an anonymous letter to members of the Olympic team.
"The letter was handed over immediately to Interior Ministry officials in Vienna for review. A security incident is currently not expected."
Islamist militants have threatened attacks during the Games and last month the British Olympic Association confirmed it was one of a number of national federations to have received an email containing terrorist threats.
Federations from Italy, Germany, Hungary and Slovenia also indicated they received emails or letters with similar content, which were passed to the International Olympic Committee security advisers for inspections.