New Haven Police Department received an anonymous tip off from a male caller that his room-mate was en route to the Yale University campus "with the intention of shooting people", a spokesman said.
Police spokesman David Hartman told reporters both the caller and the gunman have yet to be identified.
He told a press conference: "There has been no report of gunfire, there has been no report of injuries of anyone.
"We are interviewing [two] witnesses who did report seeing somebody on or near the university campus with a long gun ... either a rifle or a shotgun".
More top news
Islamic State militants have released a video which shows British hostage John Cantlie talking to camera, appearing to read from a script.
Nine women have been found guilty of promoting a £21 million get-rich-quick pyramid scheme. But how do you spot a pyramid scam?
Hollywood heartthrob George Clooney will be seen planting a kiss on Dame Maggie Smith during his guest appearance on Downton Abbey.