The police department told CNN in a statement that they received a call from an alarm company representative at a little after 9 a.m. reporting the alarm at the building's main entrance had gone off.
The preliminary investigation by police determined that a burglary did not occur to the main building or Heller's office, but the threatening note addressed to Heller was discovered near his office door, authorities told CNN.
Officers took a report for the letter and are investigating the incident, they said.
"Due to the open status of the investigation, the content of the note will not be disclosed at this time," the police department told CNN in a statement.
The police department referred additional questions about the incident to Heller's office.
CNN reached out to Heller's office for comment Monday morning, but a spokesperson referred CNN to local police.
"We cannot comment on an ongoing investigation," a spokesperson told CNN, directing all questions to the police department.
CNN reached out to Heller's office after receiving the statement from the Las Vegas police department.