The family has alleged that Raja Bhaiya is harassing them and asked them to keep their mouth shut in regard to Kunda killings.
The Pratapgarh village headman Nanhe Yadav, along with his brother and Deputy SP Zia-ul-Haque were killed in Kunda last month.
"Raja Bhaiya called us and said if we told the CBI anything about him or his family, we will be killed. He also threatened our father and the women in our family saying that if they opened their mouths, the others won't be spared too. We want security. If we are killed, Raja Bhaiya will be responsible," Nanhe Yadav's brother Pawan was quoted as saying.
The family has now approached the Allahabad High Court for protection and has informed the CBI.
The Kunda Killings case has been handed over to CBI for probe.
Raja Bhaiya had to resign from the Akhilesh Yadav cabinet following the outrage over Zia-ul-Haq's murder. The police officer's wife, Parveen Azad, holds the politician responsible for her husband's death.
Zia-ul-Haq was killed after he reached Pratapgarh in Kunda, where the village headman had been shot. A mob reportedly cornered him and the policemen who were with him allegedly abandoned him. Zia-ul-Haq was shot during the clashes.