"The location was evacuated, no shots were fired. No arrests have been made and the investigation is onoging," New York Police Department told the BBC.
The six-part series focuses on the women who have accused the singer of sexual misconduct, which he denies.
#MeToo founder Tarana Burke was among several panellists at the screening.
She tweeted: "The worst of it isn't the threat though because it didn't appear to be credible, but the survivors who had to endure his harassment. #MuteRKelly"
April Reign, who created the #OscarsSoWhite hashtag, was also at the screening and said police were on the scene.
They added: "NeueHouse has always existed to celebrate creatives, entrepreneurs and activists with important and meaningful stories to share.
"Despite non-credible threats called in during tonight's screening, we followed appropriate safety protocols in collaboration with the NYPD and elected to postpone the event.
'Safety of paramount importance' "We stand by the creative women bringing these heroic stories to light."
NYPD added that they have an "open complaint for aggravated harassment" on the incident.
Lifetime, which made the documentary, told the BBC: "Several anonymous threats were called in.
"As a precaution, the network elected to evacuate the building. The safety and security of our panel, guests and staff is of paramount importance to Lifetime."