TMZ- Rapper J.Cole was blackmailed by a twisted fan who tweeted a photo of a little girl with a gun to her head ... and claimed he would shoot her if Cole did not respond to his message.

The fan tweeted last night "@JColeNC retweet me and I'll buy Born Sinner. Don't retweet me and I'll kill my lil sister." 

Shortly after the threatening tweet, which refers to Cole's new album ... Cole did indeed retweet the message.

It's unclear if the gun is real or where the crazy guy behind the tweet actually lives. The account claims to be out of Saudi Arabia -- but the truth is it could be anywhere in the world.

This morning the rapper commented about the incident, saying ... "Wildest s**t I ever seen on twitter."

Check out the tweet here