An officer in Italy's anti-terrorism squad said the letter carried a symbol frequently used in the past by Italian anarchists.
In Washington, US State Department spokeswoman Jen Psaki confirmed the bomb threat and the temporary closure, yesterday evening of the consulate. She also thanked Italian authorities for their "prompted and professional response."
The officer said police inspected the building after staff members were evacuated and that no members of the public appeared to be there at the time.
Later, the building's tenants were allowed back inside after the alarm was called off. Several Italian radio stations have offices in the same building and also were temporarily evacuated.
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As a precaution, a nearby subway stop was temporarily closed during rush hour as a precaution but later was reopened.
Police denied Italian news reports that suspicious luggage also had been found at the consulate.
Psaki said she was not aware of any connection between the bomb threat in Milan and the al-Qaeda threats that prompted the temporary closure of US embassies across the Mideast and Africa, and the evacuation of US personnel from the US Embassy in Yemen.