"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.