The e-mail was sent using a mobile phone. The sim card as well as the phone were purchased using a fake address and name, from Mumbai.
When Maharashtra ATS and crime branch officers reached the address, they did not find anyone by that name living there, said a senior police official.
Two persons have picked up for questioning, he said, refusing to divulge further details.
Soon after the firing near Jama Masjid on Sunday, in which two Taiwanese nationals were injured, an e-mail was sent to various media houses, threatening to carry out attacks during the upcoming Commonwealth Games.
The e-mail, sent to BBC, does not directly refer to the incident of firing, but says "in the name of Allah, attack is a tribute to Atif Amin and Mohammad Sajid".
Both Amin and Sajid were killed by police in Batla House encounter on September 19, 2008.
