Intelligence sources say that a special cell of the Delhi Police received an alert on Wednesday evening about the terrorists’ presence in the capital and that all four are said to be heavily armed.
The alert led to a search operation across Delhi, especially focused on crowded neighbourhoods.
Airports across north India have been placed on high alert and security has been enhanced, the Indian news channel NDTV quoted officials as saying.
The threat was discussed at a meeting at Prime Minister Narendra Modi's home on Thursday morning. "We are on alert and taking all anti-terrorism measures. We are working on all inputs. There is nothing to worry," said M.S. Randhawa, Deputy Commissioner of Police (Central Delhi).
In September, Indian media cited intelligence sources as claiming the Jaish-e Mohammad (JeM) was plotting attacks against Indian Prime Minister Modi and his National Security Advisor Ajit Doval.
Indian Army Chief General Bipin Rawat also said last month that "at least 500 terrorists" are waiting to cross the Line of Control, the de facto border with Pakistan.
Sources estimate over 50 terrorists already crossed over to the Indian side in the last two months.
Indian authorities and military officers have accused Pakistan of reactivating the launch pad in Balakot, in retaliation for New Delhi’s decision to scrap the special status of Jammu and Kashmir on 5 August. Indian fighter jets bombed an alleged JeM camp in the area on 26 February.