Dick Marty had investigated war crimes during the Kosovo War for the Council of Europe.
Serbia's intelligence service (BIA) has denied media reports that it had planned to assassinate a Swiss prosecutor.
Dick Marty had stated that he was living under police protection after receiving death threats from Serbian "intelligence circles".
Marty -- who has a reputation for international investigations -- told Swiss television RTS that he had been living under police protection since 2020.
The former prosecutor claimed that his murder would then be blamed on Kosovo by Serbia.
The BIA has described the claims as "completely unjust" and said the allegations have inflicted "immeasurable damage" on the agency.
The agency added that it had lodged a formal complaint following the Swiss media allegations.
As special rapporteur of the Council of Europe, Marty had investigated alleged organ trafficking and war crimes committed by Kosovar militias in the 1990s war.
His work led to charges against long-time President Hashim Thaci, who had commanded the Kosovo Liberation Army during the conflict against Serbia.
In an interview with Swiss media earlier this month, Marty had stated that he had been under constant since December 2020.
"I received a call from the police informing me that I had received a death threat and announcing that I was to be put under heavy police protection immediately," he told RTS on Sunday.
"The threat comes from certain circles in the Serbian intelligence services who have asked underworld, professional killers, to liquidate me," he added.
The Swiss Federal Prosecutor's Office also confirmed to AFP that Marty was under "serious threat" without giving further details.
The former Council of Europe rapporteur has also been a politician and prosecutor in the southern Swiss canton of Ticino.
It is claimed that Marty's assassination would be blamed on Kosovar officials to discredit Pristina on an international scale.
Serbia has refused to recognise Kosovo's declaration of independence in 2008.