The BBC's Liz McKean: "The BBC is in constant contact with the police and other agencies"

The corporation refused to comment on press speculation that the threat, and the killing of presenter Jill Dando, were carried out by Serbs in retaliation for Nato bombing in Yugoslavia.

But, asked about the threat, a police spokesman said: "It is a line of inquiry being investigated by the Jill Dando investigation team."

It is being stressed that no link has been established, and police say they are still keeping an open mind about the motive for Ms Dando's murder.

The BBC's Jane Peel: "The police are not ruling anything out"

Mr Hall and his family are now under police protection and security at the corporation's White City news centre has been tightened. The BBC refused to discuss other security measures.

A spokesperson for the corporation said: "It is not unusual for there to be threats to presenters or people in the BBC. We obviously take all of them seriously."

The Serb Ministry of Information reacted angrily to newspaper suggestions of Serb involvement in Ms Dando's death as revenge for her part in a charity appeal on behalf of Kosovo Albanian refugees.

The ministry's Website accused the British tabloid press of "lies and manipulations" and called the accusation "criminal" and "racist".

Tony Hall: Under police protection

It blamed Downing Street press officer Alastair Campbell for generating the story after he "took over the coordination of the Nato machinery".

UK Foreign Secretary Robin Cook said British security services had "powers to act" if "anybody from any part of the world may be contemplating action which breaks the law".

"I'm quite sure our security forces have this under review," he said.

Meanwhile detectives constructing a picture of a man seen outside Ms Dando's home say they are delaying its release to make sure it is as good as possible.

The 'E-fit' is being built up following interviews with seven witnesses who saw the man - being treated as the prime suspect in the killing - before and after the shooting.

A Scotland Yard spokeswoman said the picture had not yet been released because police were "still not happy with the quality".

She said: "The release is not imminent. We will let people know as and when."

The couple were due to marry in September

Police are also looking for the murder weapon and have not ruled out the possibility that it may have been thrown into the River Thames.

On Wednesday, Ms Dando's fiancé Alan Farthing appealed for help in finding the killer.

During his first public interview since Ms Dando's death he told the BBC he was devastated.

"I cannot think for one moment what could go through someone's mind when they do such a thing to such a beautiful, caring, well-meaning and as perfect a person as Jill."

Consultant gynaecologist Mr Farthing, 36, had set aside this week to make final preparations for the couple's wedding in September.

He said: "My first emotions now are that whatever happens and whatever arrests are made it does not bring back Jill and that is desperately sad.

Ms Dando was killed by a man who shot her in the head at very close range with a 9mm semi-automatic pistol.

The execution-style manner of the shooting prompted speculation that she might have been the victim of an underworld hitman.