Another letter said he would be blinded with acid and shot, The Sun newspaper said.
A source quoted in the Sun said: "He's a tough guy but has a wife and a two-year-old son to think of. These letters have really unnerved him."
Millwall are due to face Leicester twice in the next five weeks, at home on November 16th, and away on December 14th.
The source added: "There are plans to have a minder on the day of the games in case a lunatic tries to take a pot at him."
A police source said: "Short of an officer outside his home, he will get every protection."