Here's how it went down, according to Gasparino's Twitter feed and his comments later on FBN:
Earlier in the day, he published an exclusive story about how James Gorman, the CEO of Morgan Stanley, called some analysts on Thursday to tell them that despite rumors, the bank is not overexposed to troubled European banks and, in the words of Gasparino, "imploding."
A public relations representative from Morgan Stanley, apparently unhappy with the article, called Gasparnio and left him a "nasty" voicemail. Thinking she'd hung up, she said "I'm going to kill him one of these days," according to Gasparino.
He explained more during the 3:00 p.m. EDT hour of FBN, where colleague Liz Claman had a tough time keeping a straight face (clearly, she thought Gasparino was being just a tad dramatic).
"Morgan Stanley is not going to silence me with death threats," he said as Claman chuckled. "I was threatened today. It was a death threat issued by one of their PR people. And they will not silence me."
After he explained the story about Gorman, he got back to it. By this point, however, he seemed to have calmed down a bit. As Claman laughed again, Gasparino repeated his mantra. "THEY WILL NOT SILENCE ME!" he shouted, trying not to crack a smile.
"It was a little flippant, maybe, Charlie?" Claman suggested. "Can you concede?" But before he could, Gasparino ran out of the frame.
"Check underneath your car," Claman told him, laughing.
WATCH: Charlie Gasparino explains the "death threats" he says he received, Part II (Part I at the top):