Police National Headquarters said a full investigation began in November, with an Auckland-based team called Operation Concord involving up to 36 police staff.
Mike Clement, Police deputy commissioner of national operations, said although it was possible the threat was a hoax, it must be treated seriously. He encouraged the person or group to make themselves known.
"The letter writer may not have really considered the implications of their actions when this communication was drafted," Mr Clement said.
Several specialist groups and support agencies, including MPI, were involved.
Exchange operator NZX said it had placed a trading halt on all dairy futures and options trade and said trading in the shares of three big dairy companies had been put on hold.
Normal futures trading will resume on Wednesday, the exchange said.
Trade in the units of Fonterra and in shares in Synlait Milk and A2 Milk have also been put on a trading halt, the exchange said.