Mr McCoskrie said he was grateful he and his family were away on the weekend when the incident happened at his South Auckland home.
Neighbours said they had seen four women dressed in black on his lawn, but thought they were putting candles out."
Detective Senior Sergeant Dave Pizzini of Counties Manukau CIB said the incident was being treated seriously given the intimidating nature of the note.
Mr McCoskrie would not divulge what the note said, but said the contents were "worrying".
"It was just designed to intimidate me," he told The Dominion Post. .
"It's quite sad that some pathetic people would stoop to this level."
He said his house would have been easy to find since the introduction of the Electoral Finance Act, which required the home address of the person authorising electioneering material to be made public.
Despite the act, Mr McCoskrie said he would not be intimidated and would continue to push the organisation's policies.
"We will not be silenced. Whenever we speak up on issues, we are going to make enemies.
"I'm the first to admit that we don't always get it right, but we cannot afford to walk away from the opportunity we have to speak up from a family perspective on these crucial issues."
