The phone call was made to the city's Police Control Room on February 16, police said.
Police suspected it was a hoax call and launched a probe though no case has been filed yet.
Police has managed to locate the place from where the call was made.
Meanwhile, Khan is busy shooting for Ali Abbas Zafar's much-awaited film Sultan which co-stars Anushka Sharma.
The film, wherein Salman plays a wrestler, is slated to release during Eid this year.
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