The U.S. Secret Service was in charge of the investigation and asked for assistance from state police in order to locate the car quickly.
State Police Lieutenant J. Paul Vance said the vehicle in question is a blue 2014 Volkswagen Jetta and was located Friday night in Hamden, a suburb of New Haven.
On Friday, Obama was in Newport, Rhode Island, attending a Democratic Congressional Campaign Committee fundraiser. Hamden is about 90 miles east of where the president had been.
The suspicious vehicle was found near an ice rink and a group of apartment complexes, police said.
Authorities are not releasing many details on the nature of the alleged threat so far.
While no arrests were made, NBC reports that a suspect was taken in for questioning by authorities.
“We have taken all appropriate investigative steps in this matter, based on the information we received yesterday about a suspicious vehicle and person,” Mainor said. “There have been no arrests or charges brought in this case at this point.”
The president safely returned to the White House on Friday evening.