Police have warned the state capture inquiry that former Bosasa executive Angelo Agrizzi's life is under threat.

Before Agrizzi began his testimony on Thursday, evidence leader Paul Pretorius announced that a "very senior police officer" contacted the commission's investigators to warn them that based on credible information, Agrizzi's life was under threat. Pretorius said Agrizzi has since received more security.

Agrizzi also made reference to a threat he received after having breakfast at a popular shopping complex in Bryanston.

He said he found a note on his windscreen when he returned to his car. The message was written in Zulu.

"I normally just throw these away but this specific one I said let me just keep this," Agrizzi said.  

Summarising the message, Pretorius said Agrizzi was warned that he must stop talking about state capture and rather focus only on Bosasa when he appears before the commission.

His testimony is continuing.