Federal MP George Christensen has gone to police over a gruesome death threat he received after telling budget whingers to try living like poor Asians.

The anonymous email warns Mr Christensen that MPs in Asian countries are assassinated and is accompanied by a photo of a man whose head has been blown off.

"Just remember arsewipe, those Asian countries also have a high number of MP (sic) that are assassinated. Aussies have GUNS.. Just remember that!," the email said.

"You have just become a MARK!"

Mr Christensen said he had reported the upsetting death threat to federal police on Friday morning.

The email landed in the National MP's inbox after he used Twitter on Thursday to rebuke Australians angry about the federal government's tough budget measures.

"Aussies should do a tour of Asia & live like locals to put these 1st world complaints re budget in perspective," Mr Christensen tweeted, attaching a picture of impoverished Asian children in a slum for added effect.

Mr Christensen said he was surprised his comments attracted a death threat serious enough to report to police.

"It's probably the most confronting email I've ever received," the Member for Dawson told AAP.

"You receive nasty emails (as an MP)... I have a thick enough skin for that but I don't have a thick enough skin to stop a bullet from going through my head."

Mr Christensen also claimed anger about the budget was unwarranted, and debate about it needed to be brought down to a "sensible level".

"I think everyone needs to take a deep breath and calm down about it," he said.

Tweeting news of his death threat, Mr Christensen claimed Opposition Leader Bill Shorten was "fanning this violence".

A spokeswoman for Mr Shorten described the remark as a "disgusting new low" for the Liberal Party.

"If the prime minister has any sense, he'd instruct George Christensen to apologise for this offensive and irresponsible statement," she said.

"There is a right way and a wrong way to protest this unfair budget - making threats like this is never acceptable."