The letter, written in Marathi, reportedly asks Mr Shinde to name politicians associated with Mr Ali.
"I received the letter in the morning and the letter said that I should hold a press conference and name the political leaders", said Mr Shinde.
Mr Shinde said the letter mentioned that he would be harmed if he did not do as asked.
Mr Shinde has asked for police protection after receiving the letter.
Mr Ali, who is currently in the custody of the Enforcement Directorate, is accused of allegedly stashed away billions of dollars in Swiss bank accounts.
More details are awaited.