The 23-year-old came under fire for refusing to wear a Remembrance Day poppy on his shirt during the 2-1 defeat at Everton last weekend.
Black Cats boss Martin O'Neill revealed on Sunday that McClean had received threats on Twitter, and police are now looking into the matter.
A Northumbria Police statement read: "Police are carrying out inquiries following a third party report of threats made on social networking sites.
"Officers have spoken to Sunderland AFC and inquiries are ongoing."
McClean was booed by sections of the crowd at Craven Cottage when he was introduced in the second half of the 3-1 win over Fulham, but O'Neill backed the Republic of Ireland international to brush off the criticism.
O'Neill said: "James will deal with it. I think it is to do with the issue last week, it's a free choice in this world.
"James has lived with a lot of things - he's getting death threats too now so that doesn't help."