The bullet and handwritten letter were discovered by mail handlers at a sorting office at Rome's international Fiumicino airport on Wednesday.
Marino, who has been mayor of the capital since June 2013, has come under increasing pressure since revelations about a mafia network operating from Rome city hall.
Last year Italian police arrested 37 people on Tuesday and named 100 people – including Marino's predecessor Gianni Alemanno – as being under investigation in a probe into the criminal network, known as “Mafia Capitale”.
Police in charge of the investigation believe the network was run by Massimo Carminati, a notorious one-eyed underworld figure with links to the far right.
Earlier this month Italian police arrested 44 people accused of dealings with Carminati, whose gang thrived on rigging Rome public contracts on everything from garbage disposal to park maintenance.
A week later, police arrested six people, including a senior official from Rome's cultural heritage agency, which manages the capital's archeological sites. The arrests are linked to fraudulent nods for city contracts, including tenders for the 2010 restoration of the Julius Caesar wing of the palace where city councillors meet.
The news prompted protests from the Five Star Movement party and calls for the mayor to resign.
But the 60-year-old mayor has remained defiant.
“I will run until 2018, then until 2023. I will finish my work,” he was quoted as saying by La Repubblica newspaper on Thursday.