The source also said that Khadam’s relatives and parents, who are in Iran, had also received threats, without giving further details.
Iran’s foreign ministry did not immediately respond to a request for comment on the matter.
The source said that Khadem, also known as Sarasadat Khademalsharih, arrived in Spain on Tuesday.
He has not responded to a Reuters request for comment. Newspapers including Le Figaro and El Pais reported last week that Khadem would not return to Iran and would not go to Spain.
The source said that because of the phone call, the organizers decided to provide security in cooperation with the Kazakh police, resulting in four bodyguards being stationed outside Khadam’s hotel room.
Iran has been swept by demonstrations against the country’s clerical leadership since mid-September, when Mahsa Amini, a 22-year-old Iranian Kurdish woman, died in the custody of morality police who detained her for “improper dress”.