Hmmm..Yes this seems to be right. Bill uses the age old Conservative tool by casting himself as a victim.

The loofah-loving Fox News host is raising plenty of eyebrows around the office after telling Barbara Walters in an interview with ABC's 20/20 that, "the FBI came in and warned me and a few other people at Fox News that Al Qaeda had us on a death list."--
But the reaction from some of his colleagues sounds more like disbelief. "I've never heard that before," says a correspondent for Fox News, who added that neither he nor anyone he's spoken to at the network has been warned by the FBI. "I do know the government has warned Fox about threats in the past, but I don't think they involved specific people."

A high-level exec at another cable news channel was less circumspect. "That sounds like absolute bullshit to me—it's typical O'Reilly," he says. "We've never received any similar warnings from the FBI or any other government agency, and we've done plenty of reporting to piss off Bin Laden."...read on

Read the rest of the story because it says law enforcement officials are unaware of any threats to anyone at FOX. Since Bill said it I guess that's enough proof for me.