Police are looking for a man who attempted to demand money from the Post Office in Winthorpe near Skegness.
At 12.44pm on Friday, a man entered the Post Office and asked for money at the till.
Staff refused to hand over cash, which prompted him to make threats towards them before leaving empty handed.
One witness said that he threatened to come back with a gun if staff did not give him money.
Police are now appealing to anyone who may have been a witness or has information that may help investigations.
The suspect has been described as a white male in his mid 30s, approximately 5ft 10 in height, of a slim build, wearing a grey tracksuit and a blue face mask.
Anyone who can help officers with this should call 101 and quote incident 193 of February 26.