PSG said last month they would not take any fans to the Croatian capital nor sell any tickets for the group-stage match for security reasons. The game has been branded risky by European soccer's governing body UEFA.
"In spite of this decision, steady rumours make us fear that a hundred people, all considered potentially harmful, will go to Zagreb on their own for this game," the club said in a statement.
"PSG have warned the Croatian authorities about this threat. The club would like all the necessary measures taken to prevent incidents," it added, asking fans to accept the travel ban.
Paris St Germain have tried to address fan violence in recent years and several hundred people have been banned from its Parc des Princes stadium.
PSG are third in Group A on three points while Dinamo Zagreb, who lost their first two games, are bottom.