Police headquarters said Saturday the anti-terrorism squad was handling the case. The pig heads arrived in three separate boxes, all sent by a delivery service unaware of the contents.
The deliveries were made Friday, three days before an international memorial day for Holocaust victims.
In a tweet, Rome Mayor Ignazio Marino condemned what he called intimidation of the city's Jewish community.
Local media reported Saturday that anti-Semitic graffiti also appeared outside a municipal building in a Rome neighborhood.