Law enforcement are still trying to find Paddock's motive for the shooting.
The Las Vegas shooter reportedly researched hotels near Fenway Park in Boston.
According to the NBC report, Boston police were aware of the reports and were working with federal officials.
Paddock, who officials believe had an escape planned, fatally shot himself as a SWAT team descended on his hotel room.
News: Stephen Paddock searched for hotels near Fenway Park in Boston, senior official says.
Per a press release, "As part of the standard entry screening process in place for all Fenway Park events, fans entering the ballpark will be screened using walkthrough metal detectors, and all bags will be checked by trained security staff".
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Massachusetts Governor Charlie Baker issued a statement to NBC saying, '"We and many others are fully plugged in on that investigation, and there is no imminent threat to anything in Massachusetts'".
The FBI Boston Division said there is no information to indicate any additional threat, and "Any possible nexus to Boston discovered during the ongoing investigation has and will be immediately briefed to the Boston Police Department, and other affected law enforcement agencies".
New York Yankees shortstop Derek Jeter bats in the 1st inning during a game against the Boston Red Sox at Fenway Park in Boston, Sept. 28, 2014.
Stephen Paddock's potential targets included the most recent Lollapalooza festival in Chicago, which was held August 3 to August 6 in Grant Park, the officials said.
It became clear pretty quickly that the shooter, Stephen Paddock, had put significant planning into the attack.
Sheriff Joseph Lombardo said Wednesday that authorities are investigating whether or not Paddock had accomplices in Sunday's massacre that left 59 people dead and more than 500 injured.