Albanese was moved from The Lodge, and the police have been sent to his house, SBS News reported.
He has been moved to another secure location, according to Sky News Australia.
The federal police responded to the alleged "security incident" on Tuesday night.
"A thorough search of a protection establishment was undertaken, and nothing suspicious was located," a police spokesperson said, according to 9News. "There is no current threat to the community or public safety."