The RCMP and Ottawa police are investigating following a break-in early Saturday morning at the home of Liberal Leader Justin Trudeau.

Nothing was stolen, but police confirmed to CTV News that a "threatening note" was left behind in the Rockcliffe-area residence.

The break-in occurred through a back patio window of the house, sources say.

Trudeau's wife, Sophie Gregoire, and their three young children were asleep in the house at the time, but the leader was away in Winnipeg.

"My family is actually coming to join me in Montreal because they don't want to stay in the house tonight," Trudeau told reporters Saturday afternoon.

"Everybody's safe but the idea of someone in the house while my family is sleeping and I'm away working is very distressing, to say the least," he said.

The Trudeau family, which rents the six-bedroom Ottawa home, has now asked the RCMP to conduct a risk assessment.

Unlike Prime Minister Stephen Harper and Opposition leader Thomas Mulcair, Trudeau does not live in an official government residence, and does not receive security detail.

Security experts say the family might have to look into additional safety measures. "They'll look at it to see whether it has to be extended to bodyguard coverage, and then whether there's a threat to his family," said Garry Clement, a former RCMP superintendent.

According to government documents, it costs about $20 million per year to protect the prime minister. Security was ramped up after a man broke into 24 Sussex Drive in 1995. The man, armed with a jackknife, was arrested outside the bedroom of Jean Chretien, who was prime minister at the time.

Meanwhile, Trudeau’s staff say he won’t change his travel plans in light of the incident.

Police say they do not have any suspects.

With files from CTV’s Richard Madan