"A vote to leave the EU is likely to have implications for our U.K. operations. To continue to serve our clients and maintain efficient access to those markets currently enabled through the EU passporting regime, we would likely need to rebalance our operations across the EU," he said.
CNBC received no immediate reply on Thursday when it contacted Citigroup to see the letter and ask for comment.
Citigroup's main U.K. office is in Canary Wharf in London, but it also has offices in Derby in England, Belfast in Northern Island and Edinburgh and Glasgow in Scotland. The U.K. is the headquarters of Citi's Europe, the Middle East and Africa operations.
The bank employs more than 9,000 in the U.K., according to the Guardian.