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".
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Five teenagers have been arrested in London on the suspicion of preparation of acts of terrorism.
Goals from Lucas Perez and Theo Walcott ended Sutton United's FA Cup dream on Monday night.