A hazmat team responded to the studios on Beverly Boulevard in the Fairfax District at about 2:50 p.m. Two interns had to be placed in isolation until the substance was determined to be benign.
Authorities said the letter was sent from France and also contained threats.
Detectives with the LAPD's Major Crime Unit are working with federal authorities and their European counterparts to find out who sent it.
Ferguson riffed about the potential anthrax scare in his opening monologue and throughout Tuesday's show.
"All the Late Show employees had to leave the office so no work got done. It was just like a regular day here," Ferguson said. "This was the most attention this show has ever gotten."
Ferguson noted that he just spent a week doing his show from Paris.
"I did do that /*Gerard Depardieu*/ joke but his preferred weapon of choice is pee," joked Ferguson, alluding to an incident last week in which the legendary French actor urinated in the aisle on a flight from Paris to Dublin after he asked to use the bathroom and was told to wait until the aircraft was airborne.
City News Service contributed to this report.