"We have learnt about the threat to Jolie and Pitt and the news that they have been provided Y-category security from the media which quoted the Intelligence Bureau. We have not received any communication in this regard from our headquarters in Mumbai," a senior police official said.
A meeting was in Pune to discuss the reported security threat to the celebrity couple, he said.
Jolie is playing the role of the widow of slain Wall Street Journal reporter Daniel Pearl in the film A Mighty Heart, which is being produced by Pitt's company.
Media reports in the last couple of days had said that Jolie and Pitt faced a threat to their lives from al Qaeda for making the film on Pearl, who was abducted by militants in Pakistan and later killed in 2002.
The couple arrived in Pune, which is standing in for the Pakistani city of Karachi, on October 5.
British actor Dan Futterman has been cast as Pearl in the film which British security experts fear could attract al Qaeda's ire because of the bad publicity it could bring to the terrorist group.
As the Pakistan government refused permission for shooting the film in that country, ostensibly for security reasons, the Sindh Colony in Aundh area of Pune was chosen as an alternative locale for its resemblance to parts of Karachi.
Bodyguards nrought in from abroad and local private security guards are responsible for providing security to the Hollywood couple.