The post, reportedly written by a 17-year-old boy from Chambersburg, Pa., said: "I'm killing Ovechkin. I'll go to jail. I don't care anymore."
The boy's name wasn't released because he's a juvenile.
The Penguins immediately informed local police, as well as the NHL and the Capitals.
"We were notified of the message and immediately turned over all information to the authorities," the Penguins said in a statement.
It is not known if criminal charges are pending, but officials don't believe Ovechkin was ever in any real danger. Ovechkin was aware of the threat, but did not comment when the incident was first reported by a local television station in Pittsburgh.
"We are aware of it. NHL security was contacted and worked with local law enforcement in handling the matter," NHL spokesman Frank Brown said Thursday.
"We became aware of an inappropriate comment on a message board and referred it to appropriate authorities," the Washington Capitals said in a statement. "We appreciate their diligence and have every confidence in our club's safety."
Ovechkin, the NHL's leading goal scorer, has five goals in the first three games of the NHL Eastern Conference semifinal series against Pittsburgh. He scored the game's first goal during Washington's 3-2 overtime loss in Game 3 on Wednesday night, hours after the threat was posted.
The Capitals and Penguins play Game 4 in Pittsburgh on Friday night. The series continues in Washington with Game 5 on Saturday night.
Scott Burnside is an NHL reporter for ESPN.com. The Associated Press contributed to this report.