The note was left at an apartment near Western Illinois University.
The school, home to 11,000 students, is located in Macomb, about 250 miles from Chicago.
while police are investigating, they say no suspects are in custody.
Western Illinois' Macomb campus is normally bustling, especially on a clear day, with temperatures in the 50s.
Instead, many students were hunkered down in their dorms behind locked doors.
"As long as I'm in my dorm and everyone is locked up, I'm all right. But my parents are kind of freaking out," said Whitney Kropp, WIU freshman.
"It doesn't really hit us that hard. All we know is classes are done today," said another student.
"Well, I'm not going on campus. I guess that's fear enough," said another.
Students and staff appeared to have received the word quickly by cell phone and email through the university's emergency alert system, something countless college campuses have put into place after the Virginia Tech massacre a year ago.
A timely warning immediately went up on the college web site, along with information that the campus was not on lockdown. Some events were cancelled, others postponed.
If teachers were available, classes were held, though students would not be penalized if they did not attend Wednesday.
"I went to my next class. And my teacher said that class is canceled and we could stay there if she wanted," said one young woman.
But the dominant image on campus was security. State police, county sheriffs,, Macomb police and campus security officers all patrolled by car, bike and on foot.
The threatening, handwritten note was found early Wednesday morning at a student-occupied apartment complex just off campus.
"The note was actually found in the office building of the complex, which they have a drop box where students can drop off their payments and that type of stuff. Or the renters can drop off their payments. So it wasn't there last night when the office staff was at apartment complex left. When they came in this morning, that's when they found the note," said Bob Fitzgerald, WIU Director of Public Safety.
College officials won't identify the apartment complex or release the exact wording of the hand printed note.
"The drop box, the public has access to it. It's an office where the general public actually had access to drop that off. So to say it was a student that lived in that complex we can't say that," said Fitzgerald.
WIU dorms remained in lockdown mode and the situation will be reassessed later Wednesday as well as thursday morning. WIU said residence halls were locked and only accessible by residents with keys.
"Basically, the letter said there would be a shooting on campus today," Fitzgerald said at a news conference. He declined to provide further details.
No suspect was in custody, Macomb police said.
"While this is an anonymous off-campus threat, it is imperative that we take all necessary precautions to ensure the safety of our students, staff and faculty," WIU's president, Al Goldfarb, said in a statement.
Graduate student Jessie Kallman received a text message alert from the university at 9:41 a.m. after she already had arrived on campus. She chose to attend classes, which had about half the normal number of students.
"There were a few who looked at the (text) message, were scared and headed home," the 23-year-old said. "Others said, 'Well, OK, and went on with their day. ... A lot of us feel that if we fear it, it gives such threats credibility."
Illinois State Police, Macomb Police Department and the McDonough County Sheriff's Office were assisting WIU.
"We are investigating this incident, and we will prosecute the individual responsible to the fullest extent of the law," Goldfarb said.
The university activated an alert system at around 9:30 a.m. Wednesday, shortly after the note was found, Barker said.
The Associated Press contributed to this report.