Rick Ross -- Chicago PD Investigating Death Threats from Gang

Rick Ross says he's not hiding from gang members who made death threats against him -- but the Chicago Police Department took the videotaped message seriously enough to launch an investigation ... TMZ has learned.

You'll recall ... self-proclaimed members of the Chicago-based Gangster Disciples posted a video (below) -- in which they demand Rick Ross cut a check for GD founder Larry Hoover ... or else.

The video went viral a few weeks ago, and Ross then cancelled the remaining dates on his tour.

Law enforcement sources tell TMZ ... the Chicago PD was made aware of the video, and will be taking a closer look at the YouTube post.

Ross told Miami radio station WEDR the real reason he cancelled the tour was due to shoddy promoting -- and claims it had nothing to do with the GD threats.

Ross defiantly said he's not afraid to go to Chicago, and humbly added ... "Ricky Ross is a boss. You can't cancel a Ricky Ross show without Ricky Ross's permission."