Officers were alerted to the incident at the disused Darlton Quarry, in Stoney Middleton, at around 8pm on Saturday night.
It followed reports that two unknown people with parachutes had jumped off a train bridge built for the film and had made it safely to the bottom.
Police say they searched the area but were unable to find the “unauthorised” jumpers.
Work has been taking place to construct an eye-catching set at the former quarry – with rehearsals, filming and site clearance expected to be complete within the next month or so.
Location shoots have already taken place in Venice, Rome, Surrey and Norway, and it is thought the current travel restrictions may have forced changes to the schedule.
Hollywood star Tom Cruise, who plays Ethan Hunt in the Mission Impossible films, was recently spotted waving to fans during filming in Yorkshire.