Several Lazio players have received messages by telephone threatening their safety if they fail to lose the Italian Cup final, according to the club's media manager Stefano De Martino.
Lazio will meet Roma at the Olympic Stadium on Sunday in what will be an historic first Italian Cup final between the sides.
The match has been placed under high security following violent incidents which marred their last league derby barely two months ago.
De Martino told a press conference the club had "reported the threats to the authorities" but that there had been "no developments since".
Roma finished sixth in Serie A when the league finished last week, with Lazio in seventh.
Although neither side qualified for the Europa League, victory on Sunday offers a spot in next season's competition.