CBS declined to specify any special security measures for his return, but a bomb-sniffing dog was seen being lead around the perimeter of the Ed Sullivan Theater. It's unclear whether Letterman will address the threat on air.
Last week, a man identifying himself as Umar al-Basrawi wrote that Muslim followers should "cut the tongue of the lowly Jew and shut it forever." Letterman is not Jewish, but Protestant.
It is thought that the comments were made in response to a joke the late-night host made in a June monologue after the military announced that a U.S. drone strike in Pakistan had killed al-Qaida leader Ilyas Kashmiri.
An analyst for the Site Monitoring Service, a firm that provides information about what jihadists are saying on the Internet to the government, said, "The concern is that there is someone who will read it, agree with it and say, 'I want to be the Sayyid Nosair of 2011 and kill David Letterman.'" Nosair was convicted of the 1990 killing of Rabbi Meir Kahane.
This isn't the first time Letterman has been threatened. In 2010, a news producer pleaded guilty to trying to extort $2 million from the host to keep quiet about his extramarital affairs.