"I have been the target of a lot of death threats since the Azerbaijan Grand Prix in June," Ocon said.
Ocon and Perez, who are teammates at Force India, have fought fierce duels this season and have collided at Baku and at the Belgian Grand Prix in Spa.
Ocon's arrival in Mexico City was put back to Wednesday instead of Tuesday while he will need bodyguards, a police escort and have an armoured car at his disposal during his stay in the teeming Mexican capital.
"I was expecting a rough reception from fans after all these messages and negative comments which appeared on social networks, but this has not been the case, quite the contrary."
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He added: "For the moment everything is fine, and I hope it will continue all weekend."
Ocon said he is not concerned about the welcome he may receive on Sunday where Mexico's passionate sporting fans will be looking for Perez to star.
"As long as they don't throw a stone at my head, it's okay," half-joked the Frenchman.
"It's still a sport, I think the fans are going to support him here," said Perez who leads Ocon by 13 points in the world championship and is in seventh place.
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