I like David Letterman, but I'm sorry, no. As far as I can tell, this is not a real story. From his perspective, there's some reason to be cautious for the next few days. But it's probably nothing.
Because, as noted in the link, the threats against the (actually gentile) comedian appeared on a pro-Al Qaeda website. An extremist website attracts humorless rage addicts with extreme beliefs? Shocking! But it's pretty meaningless if the person doesn't have the means to back the threat up. The guy who watches iCarly marathons while touching himself may be a creepy psycho, but he's not much threat to Miranda Cosgrove.
What's interesting is that this story is being promoted after Anders Breivig's rampage in Norway and the post-Mark Duggan riots in London. Those stories raise new questions. This is a rehashing of old aughts business.