Justice Misra, who was heading the three-judge bench along with Justices P C Pant and Amitava Roy, had dismissed the last ditch effort by Memon's counsel seeking to stay the death warrant.
On its part, the apex court administration has also decided to strengthen the security measures for Justice Misra and all other judges.
"Such threats would not affect our work," the CJI said.
Delhi police has registered a case after a threat letter was found near the back entrance of the judge's house at Tughlak Road on Wednesday. They said the threat to Misra is of a "very serious nature" and have so far ruled out that someone may have played a prank by sending the anonymous letter.
Memon was convicted in 2007 for the deadly attack in Mumbai in 1993 in which 257 people were killed while 713 were wounded as bombs exploded back to back at landmarks across the financial capital.
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