The threatening message was received on Thursday from a group calling itself the "Anti-Korean Interest Agency," a Foreign Ministry official said in Seoul.
South Korea did not believe the group had links with known international terrorist groups, the official said.
He added that the threat was more likely to be connected to disgruntled Southeast Asians who have been denied entry to South Korea.
Korea's embassy in Bangkok, which has been subject to protests from people refused entry, confirmed the letter, but gave no further details.
Thai police have tightened security at all foreign embassies in Bangkok, which some analysts say could be a target for militants.
"It is a group that might be unhappy with the North-South problem. There is no relation to international terrorism. It is just their own problems," Thai Foreign Minister Surakiart
Sathirathai told reporters.
South Korea began tightening policies on illegal workers in November, launching a deportation drive that targeted 120,000 of the 230,000 foreign workers toiling in Asia's fourth-largest economy.
Officials said South Korea's support for the US-led occupation of Iraq was not a reason for the threat.
South Korea is scheduled to send 3000 troops to Iraq around April, supplementing the 700 construction and medical forces already working in the country.