The letter, received at her Burnie office on Friday, warns that Senator Lambie will be beheaded unless she supports the introduction of Sharia law in Australia.

It included graphic images of a man being beheaded.

Senator Lambie said she had not received an offer for additional security.

She said she would not be overawed or distracted from her role by the letter.

"I intend to deal with it the best way possible and that's by getting on with the daily grind and getting on with the job," she said.

The letter claims to have been sent by a messenger of the "Adelaide Islamic State Mujahideen" and makes several references to the plan to build a mosque in Adelaide.

Senator Lambie said Tasmania Police and the Australian Federal Police had been informed of the letter's arrival and were conducting a new threat assessment.

Tasmania Police confirmed they were called to Senator Lambie's office on Friday in relation to the letter.

"Police have taken possession of a letter and photographic material and are currently investigating the matter," the spokesperson said.

An AFP spokesperson said they would evaluate the matter "as per usual processes".

Senator Lambie said she continued to "feel very safe in Tasmania" despite the threats.

She said she would not abandon her push to implement tougher terrorism laws.

"If you're going to use terrorism on our home soil or against our defence forces, then I want the death penalty to be put as an option and I want the courts to be able to have that option to use in the future," she said.