The cocktail-style fundraising and networking event was due to kick off at an Italian restaurant in Melbourne's northwest on Friday night.
Guests were promised the opportunity to hear directly from Senator Hanson and "connect with like-minded Victorians", according to the event description.
But Victoria Police has confirmed the venue, Giorgio Casa in Moonee Ponds, cancelled the event.
"The decision not to hold the event was made by the venue," police said, adding they were not aware of any threats made against it.
The restaurant posted a sign to its window earlier on Friday to note the event's cancellation.
"Due to the safety of our community, the event at Giorgio Casa has been cancelled," the now-removed note read.
Several protest groups including the Victorian Socialists and Campaign Against Racism and Fascism had encouraged people to protest outside the venue.
One Nation MP Barnaby Joyce said he was aware of media reports that the venue had cancelled the event but said he was "hearing other stories".
"I'm hoping I've arrived in Melbourne, not Pyongyang," he told Melbourne radio station 3AW on Friday afternoon.
Mr Joyce said he didn't think there was anything "clandestine" about One Nation choosing to hold the event at the restaurant and argued protesters were "advertising" for his party.
"I know little about lots and lots about politics," he said.
"Because you are going to go on and bang your pots in front of us, the cameras will turn up and guess what: they won't be on your side, they'll be on ours."
Omar Hassan, one of the protest organisers, confirmed the planned demonstration would go ahead amid uncertainty over whether the One Nation event had been cancelled or just moved to a different location.
"Regardless, the event is seen as a chance by the left to express hostility to the rise of support for the far right One Nation Party," Mr Hassan said.
"If Hanson and Joyce are too cowardly to show up tonight, then we will claim that as a victory against racism and the billionaires, and take to the streets in celebration."
A black van promoting One Nation's anti-federal Labor "Fire the Liar" donations campaign was spotted parked in the Melbourne CBD on Friday morning.
The populist party claims its campaign has raised than $3 million from almost 50,000 donors.
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