The Home Department, handled by Deputy Chief Minister Devendra Fadnavis, has also ordered a probe with efforts on to trace the call and the unknown caller.
Simultaneously, security at Shinde's official residence 'Varsha', at Malabar Hill and his private home in Thane city was beefed up with additional forces deployed.
Officials said that the State Intelligence Department (SID) monitored the inputs about the threats to Shinde, who has a Z-category security cover.
Earlier, Shinde - who leads the rebel Shiv Sena faction which toppled the Maha Vikas Aghadi govt in June - had been the target of similar threats from Maoists and anti-national elements earlier when he was a minister in the previous government.
Though officials are tightlipped, there's speculation that the latest threats may be linked to the Centre's decision to ban the PFI.
Shinde is presently travelling a lot for the Navratri festivities and will address a Dassehra rally at the Bandra Kurla Complex ground on Vijaya Dashami.
BJP leaders like Pravin Darekar and Minister Sudhir Mungantiwar suspect that certain persons may be upset by the CM's tough decisions in recent times and demanded a full investigation into the matter, including political or international threads.