A Sky News investigation claims that individuals are being recruited by so-called Islamic State as "lone wolf" bombers in the UK.
Using fake identities reporters said they were told about a woman in Glasgow who was "ready to attack".
Police Scotland said it was working with the Metropolitan Police.
Officers have urged communities to report any suspicious activity.
Sky News said journalists created fictional characters online who were able to interact with so-called Islamic State recruiters.
The Sky team reported getting in touch with a married couple who are from the UK but based in Syria.
The undercover reporters said they were sent terror guidebooks by senior jihadists - including advice on raising funds and making weapons.
They said the female jihadist told them that this Saturday's VJ commemorations involving the Queen and the Royal Family were a target.
She is also said to have told them she had a potential female bomber in Glasgow.
Assistant Chief Constable Ruaraidh Nicolson, from Police Scotland's organised crime, counter terrorism and safer communities team, said: "Police Scotland is working with the Metropolitan Police following media reporting about potential terrorist activity in the United Kingdom.
"The threat level in the UK remains at 'severe' which means an attack is highly likely.
"Against that backdrop Police Scotland constantly assesses and reviews its response to the threat from terrorism with policing operations being shaped appropriately and based on the latest intelligence analysis."
He added: "I would like to reassure the public that we are working closely with our security partners and we remain alert to all terrorist threats that may manifest here or where individuals overseas may seek to direct or inspire others to commit attacks in and against the UK.
"I would ask that communities remain alert for any suspicious activity and report it to the police so we can take the appropriate action required.
"Communities are our biggest ally in the threat against terrorism."
Police in Scotland have said they remain alert to all terrorist threats after a report that a woman in Glasgow may be poised to carry out an attack.