Reprezentacija reported on Monday that Susic and three assistants were followed by three armed robbers on motorbikes while walking in Guaruja, where their team is based.
Speaking after his team thrashed Santos' youth team 5-1 in a friendly on Monday, Susic said the story had been made up.
"Someone must be joking, really," he said.
Adding with a laugh, Susic said: "Someone who dare attack us would be putting a lot at risk."
Susic was pleased with his team's performance in their final hit-out before their FIFA World Cup campaign begins against Argentina on Sunday.
Bosnia-Herzegovina also face Nigeria and Iran in Group F.
"It (the game) wasn't bad," Susic said.
"It was a good enough game, enough chances from both sides, enough goals, enough neat moves. I think we should be happy."
