Scotland Yard said on Friday they had launched an investigation after the Premier League club notified them of a package sent to Loftus Road.
Police would only confirm that an alleged "malicious communication" was sent, but there were widespread reports that the package contained a bullet.
Both the club and police refused to reveal what the item was, although R's manager Hughes said he has seen it.
"He was sent a letter with some bullet," he said after the FA Cup fourth-round tie that Chelsea won 1-0.
"I wouldn't call it a bullet, I think a pellet or something like that. Obviously we gave it straight to the police and let them deal with it and we took direction from them."
Asked what the letter said, Hughes added: "I won't divulge that. I think that issue was discussed at great length and it was right to be concerned about the contents of the letter.
"Obviously I had an opportunity to read it and it was not particularly nice, as I am sure you can imagine."
The package was received on the eve of QPR's FA Cup clash with west London rivals Chelsea, where fans underwent full searches before entering Loftus Road.
Stewards were seen using handheld metal detectors, with some donning protective goggles, while there was a heavier than usual police presence.
The added security around the match seemingly paid off, with Scotland Yard confirming there were no arrests.
Saturday was the first time the two sides had met since Chelsea captain John Terry was charged with racially abusing Ferdinand during October's Premier League game between the two clubs.
Terry has since been charged with racially abusing the QPR defender and is expected to enter a not guilty plea at Westminster Magistrates Court on Wednesday, having strenuously denied the charge against him.
In a bid to defuse tensions, the Football Association gave the clubs permission not to take part in the traditional pre-match handshake, amid uncertainty as to whether Ferdinand would snub Terry.
In a statement the FA said: "Following discussions on Friday evening and Saturday morning involving senior officials from QPR, Chelsea and the FA, it has been agreed there will not be the usual team handshake before today's FA Cup fourth-round tie at Loftus Road.
"The FA agreed to the request by both clubs in an attempt to further defuse tensions before the match."
Both clubs had issued statements this week warning supporters they faced arrest, ejection and stadium bans if they engaged in any racist behaviour.
Chelsea supporters appeared to refrain from the notorious "Anton Ferdinand, you know what you are" chant.
But Terry was booed every time he touched the ball and was also the subject of numerous abusive taunts from the home fans.
