The hunt, which came as the school was on November break, was stymied by students who had stayed behind and were afraid to open their doors, police said.
An emergency call was received around 9:30 am local time from a man at a pay phone about a mile from the campus, said Officer David Hartman, a New Haven Police spokesman.
"All he really said was that his roommate was on his way to the university, to Yale University, to shoot people," he said.
There was nothing specific about the threat, he said, and the call lasted only seconds. There were no reports of shots fired or anyone injured.
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Police blocked off several streets near the university's Old Campus, in the heart of New Haven, where they were concentrating their search. Several local schools also were placed in lockdown. Police in tactical gear entered several campus buildings, and a helicopter hovered over the area. Pedestrian traffic in the normally bustling area was sparse, with cold and windy weather keeping many people inside.
Yale advised students and staff members to shelter in place. The school also issued an advisory asking people off campus to stay away from the area.
The school is on November break, with undergraduate classes to resume Dec. 2. Many students and staff members had already left campus for Thursday's Thanksgiving holiday.
But many others were still in their dorm rooms, Hartman said. Police were having difficulty gaining access to some rooms because those locked inside were not convinced they were dealing with law enforcement, he said. Most rooms don't have peepholes.