The spokesman for the Sarajevo Canton Interior Ministry, Jusuf Zornic, told reporters the tip-off came shortly before 11 am, after which the police were notified.
The embassy building, situated in the Grbavica neighbourhood, where several other embassies are situated, was evacuated and searched by mine removal experts who did not detect any explosive devices.
Local police, in cooperation with the Intelligence-Security Agency (OSA) and the State Agency for Investigations and Protection (SIPA), are conducting an investigation.
The police previously confirmed having received a request for staging a protest rally in front of the Danish Embassy on Wednesday over cartoons published in a Danish paper that insult Muslims.
Zornic said that the request was made by a physical person who was interviewed by the police during the day.
The police warned the organisers of the protest that they expected compliance with the law on public assembly.
The head of the Islamic community in Bosnia, Mustafa Ceric, said today that the Islamic community distanced itself from such protests because it considered apologies offered to Muslims through diplomatic channels sufficient.