FBI spokesman J. Peter Donald confirmed the investigation in an email Wednesday to The Associated Press.
Islanders' spokesman Kimber Auerbach says Leddy and his family are safe and the National Hockey League has been alerted to the situation.
Newsday reported that a now-suspended Twitter account posted pictures of Leddy's Minnesota driver's license and a credit card. It also made violent threats against him.
The Twitter account had been posting harassing photos of Leddy, a teammate and others in recent months.
The 24-year-old former Blackhawks player signed a seven-year, $38.5 million contract extension Feb. 24.