A fake home-made bomb, hidden in a bag, has been found at Zenit St Petersburg's training ground along with a picture of striker Hulk, Russian media reported on Friday.
While checking the device, police found the picture of the new signing with the accompanying words: "Hulk out!".
Reports have said several senior Zenit players are unhappy after the wealthy club splashed out more than $100 million on Brazil forward Hulk and Belgium midfielder Axel Witsel just before the transfer deadline this month.
"We're not denying this story but won't comment either," a club spokesman said.
St. Petersburg is set to be named as a host city for the 2018 World Cup on Saturday.
(Reporting By Gennady Fyodorov, editing by Mark Meadows)