Police are investigating a complaint by two Melbourne musicians that a Protective Services Officer threatened to kill their dog while they were walking through a railway station underpass.

The pair, Chris Drane and Tim Durkin of guitar band Cherrywood, allege the officer put his hand on the butt of his gun and threatened to kill Drane's Rhodesian ridgeback, Poncho, after the dog barked at the officer.

Chris Drane, his dog Poncho, and friend Tim Durkin were allegedly threatened by an armed PSO at Rushall station. Credit:Simon O'Dwyer

The incident took place on Sunday afternoon in the pedestrian underpass at Rushall station in Fitzroy North, the two men have alleged in a statement submitted to the Police Conduct Unit of Victoria Police's Professional Standards Command.

The pair allege the threat was made moments after two PSOs stopped them in the underpass because they (Drane and Durkin) were carrying opened beer cans.