Sikandar Bhatti, elder brother of the slain minister, and advocate Akmal Bhatti received a letter from Tehrik-i-Taliban (TTP) Pakistan and Lashkar-e-Jhangvi (LeJ) warning them to stop pursuing the case otherwise they and their family members would be killed.
Police have registered a case against the unidentified activists of TTP and LeJ.
Sikandar and Akmal have requested the government to provide them security.
Shahbaz was assassinated in March 2011 by four unknown assailants for raising voice against the country's controversial blasphemy laws.
His assassin Mumtaz Qadri said he killed Taseer for his terming the blasphemy laws 'black' and supporting a Christian woman accused of blasphemy.