The actor was shooting for the film at Film City when several policemen arrived with information that a gang was on its way to the sets. Salman Khan then left for his home in Bandra, escorted by the police.
The actor has received death threats from the gangster Lawrence Bishnoi.
The gangster, Lawrence Bishnoi, had announced last week that the actor "would be killed in Jodhpur". The threat has been linked to the 1998 black buck hunting case in which the actor and his co-stars are accused. The case was filed by the Bishnoi community, which worships deer and is passionately protective of the animals.
"Salman Khan will be killed here, in Jodhpur... Then he will come to know about our real identity," Bishnoi was quoted as telling reporters while being taken to a court for a separate case that involves extortion and intimidation of traders.
Produced in the same Jodhpur court where Salman Khan appeared a day before, the gangster had claimed that the charges against him were fake. "Now, if the police want me to do some major crime, I will kill Salman Khan and that too in Jodhpur," he said in comments that some thought could be loose talk.