The master list contains the names of about 10,000 people, some with addresses and phone numbers.
The list was discovered by the FSA and City of London Police who launched Operation WARN because of serious concerns that it was currently being circulated among fraudsters.
The letter, which is the first stage of Operation WARN, explains what people on the list can do to protect themselves from the fraud.
The FSA and City of London Police have launched a secure consumer helpline so people who have received the letter can call in for further information.
The FSA says boiler room fraudsters usually contact people by telephone and use high pressure sales tactics to con investors into buying non-tradable, overpriced or even non-existent shares.
Boiler rooms are unauthorised, overseas-based companies with bogus UK addresses and phone lines routed abroad.
FSA head of the unauthorised business department Jonathan Phelan says: “By writing to people now, we can raise awareness of this type of fraud and help protect people from losing money to these criminals. Legitimate companies should not normally call you out of the blue offering to buy or sell shares. If you get such calls, just hang up and report it.”
City of London Police head of the economic crime directorate Steve Head says: “We are all potential victims for fraudsters and need to be aware of the heartless way they operate.
“Intelligence suggests that this list of people from across the UK is currently being shared amongst boiler rooms. I would urge those people who receive a letter from us in the next few days to contact the FSA and City of London Police on the Operation WARN helpline.”