AFP reports citing police.
The letters were opened in New York on Friday and by the director of the Bloomberg-supported Mayors Against Illegal Guns in Washington on Sunday.
The letters contained "anonymous threats" and "when tested locally, preliminarily indicated the presence of ricin," New York Police Department spokesman Paul Browne said in a statement.
"The writer, in letters, threatened Mayor Bloomberg, with references to the debate on gun laws."
Members of the New York police emergency service unit who came into contact with the letter at a Manhattan mail facility had "minor symptoms of ricin exposure" on Saturday that have since abated, according to Browne.
"The FBI Joint Terrorism Task Force and the NYPD Intelligence Division, which is responsible for the mayor's protection, are investigating the threats," the statement said.
Bloomberg, a multi-billionaire media and financial information magnate, has thrown himself into the politically explosive debate over gun control, including giving financial support to pro-restriction candidates in elections.