The box was addressed to team chairman Tom Ricketts and delivered to Gate K at the ballpark.
Ricketts alluded to the incident Thursday evening at the Cubs' Third Annual Bricks and Ivy Ball while talking about the benefits of owning the team.
"You get very interesting mail from time to time."
"I called Ricketts last night. The deed speaks for itself. It's wrong to do," Chicago Mayor Rahm Emanuel said.
Could it be someone trying to break the curse of the 1945 World Series by the owner of the Billy Goat Tavern, who was denied entrance with his goat? In recent years, there have been reports of fans trying to break the curse by placing what were thought to be either butchered or stuffed goats outside Wrigley Field by the Harry Caray statue.
"Cubs fans are pretty passionate, they can do crazy things," said Tony Trejo, Cubs fan. "Not the best thing to do to send a goat's head to Wrigley Field."
There have also been more lighthearted attempts to reverse the curse, like when the current Billy Goat Tavern owner brought a live goat on to the field in 1998.
Perhaps another reason for the shocking discovery is that right now the Cubs are in heated negotiations with the city and private-rooftop owners to expand and renovate Wrigley Field, including the installation of a jumbo-tron scoreboard which could block rooftop views.
Goat heads are actually easily available for purchase in Chicago, according to the owner of The Butcher and Larder, Rob Levitt.
Police haven't made any arrests yet, but even if the prankster is caught police say they don't know what kind of charges he or she would face.
Ricketts is currently in negotiations with city officials and neighborhood business people about the $300 million renovation of Wrigley Field.
Cubs spokesman Julian Green says staff at Wrigley Field discovered the package and immediately called police.
Chicago police spokesman Officer Veejay Zala says Chicago police responded to a call around 2:30 p.m. indicating an "intimidating package" had been received. Zala would not elaborate, saying police are investigating.
The Associated Press contributed to this report.