The meme features an image of a bizarre Jackson lookalike. It claims the figure will go into the reader's bedroom at 3am and shout the singer's trademark "hee hee".
"Although a lot of people believe this is a kind of demon or ghost from the Internet, there is nothing supernatural in this matter. The kids and teenagers are looking to share it and believe in it because it is trendy, which could generate sleep issues, panic or anxiety," the police statement warns.
According to online reports, the meme originated in 2009, the year of Jackson's death, showing a video of a statue performing his dance moves.
The clip posted online shows a zombie-like Jackson as his hit Billie Jean plays in the background.