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 Protestant.)
The comments were in response to a joke the late-night host made during a June monologue after the military announced that a 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.)
A CBS spokeswoman declined to comment on the report.
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.
South Park also has been targeted by radical Islamic group, which was upset over a depiction of Muhammad in a bear costume. It said the show's creative duo, Matt Stone and Trey Parker, "will probably wind up like Theo Van Gogh," a Dutch filmmaker who was shot and stabbed to death in 2004 over his documentary about Muslim women.