Heather Mills McCartney has attended a police station in Hove, East Sussex, to speak to officers.
Heather Mills McCartney is campaigning for animal rights
"It was a pre-planned meeting," said a spokeswoman for Sussex Police, adding it "did not relate to anything specific and she was not arrested".
Lady McCartney's spokesman Phil Hall said he had not spoken to her, but she had been having "ongoing communication" with police about death threats.
Sir Paul and Lady McCartney began divorce proceedings last July.
The couple had been married for four years and have a three-year-old daughter, Beatrice.
In December, Lady McCartney, 38, told the BBC she had received death threats since the break-up of her marriage.
She said she feared for her personal safety and claimed she had little money to pay for security to protect her.
Sussex Police would not confirm the details of Lady McCartney's meeting, saying she had simply discussed "a number of issues" with officers.