The Bedford Police Department said it responded to the address in the hamlet of Katonah at 3:45 p.m. Monday after an employee of the residence opened the package.
The person placed the package in a wooded area and called police, who alerted the FBI and the Bureau of Alcohol, Firearms and Explosives.
Beford police said the FBI's terrorism task force was investigating.
The FBI's New York field office said on Twitter that it was "conducting an investigation at and around a residence in Bedford, NY. There is no threat to public safety, and we have no further comment at this time."
Neither local nor federal authorities would say whether the object was capable of exploding.
A message emailed to Soros' foundation wasn't immediately returned.
Soros, a billionaire who made his fortune in hedge funds, has donated heavily to liberal causes and is vilified on the right.
He is also the subject of many unfounded conspiracy theories. Recently, conservative critics have, without evidence, accused him of secretly financing a caravan of Central American migrants to make their way north toward Mexico and the U.S.
Others have falsely accused him of being a Nazi collaborator during World War II, when he was a child in Hungary.
Activists frequently post the addresses of homes he owns in Westchester County, north of New York City, on social media sometimes accompanied by ill wishes.
FBI officials didn't respond to requests for more information late Monday.
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