A Swedish diplomat in Bonn received an anonymous telephone call at home three hours after the assassination of Olof Palme asserting that West Germany's Red Army Faction had shot the Swedish prime minister, Stockholm police said today.

Police here refused to comment on how seriously they have been taking the previously unreported assertion allegedly on behalf of the West German terrorist group and clamped a tight lid today on all discussion of their investigation. Earlier, they had played down the significance of a similar call to a news agency in London on Saturday. Palme was shot by a lone gunman late Friday night while walking with his wife down a Stockholm street.

But the possibility of German terrorist involvement clearly is one of the principal lines of police inquiry, along with investigation of extremists among the 5,000 Kurdish exiles here. Other groups under investigation include members of a Croatian separatist organization and Swedish neo-Nazis.

All these groups have grudges against the Swedish government. Members of an organization called the Kurdish Workers Party were reported to have threatened Palme within the past several months.

Acting Prime Minister Ingvar Carlsson said at a news conference today that the killer "could be a Swede or could come from some other country."

Although Carlsson insisted that police still did not have a conclusive theory about the killer, a well-informed western diplomat here said that police were looking closely at the West Germans and the Kurds.

Yesterday, police said they believed that the killer had followed Palme and his wife from their home to a movie theater Friday night and waited for them to exit. He then followed them for two blocks as they walked before firing two bullets from behind at close range, one of which killed Palme while the other grazed his wife. Several persons who saw the killer as he fled on foot down side streets described him as tall and dark-haired.

The weapon, believed by police to have been a .357 magnum revolver, has not been found. But the two recovered bullets were of a type police said they had not seen before. Made of lead but tipped with copper, police have speculated that they could have been homemade to make them less traceable.

The call to the home of Peter Tejler, a first secretary of the Swedish Embassy in Bonn, came at 2:30 a.m. Saturday, Swedish diplomats there told Washington Post correspondent William Drozdiak today. Speaking in German, the caller said, "This is the RAF. We have shot your prime minister."

Although Tejler, who had been asleep and did not yet know of the assassination three hours earlier, questioned the man, the caller then said only "good night" and hung up.

Three other Swedish diplomats in Bonn also reported having been awakened by a ringing telephone around the same time. In all three cases, however, the caller had hung up before they reached the phone. Bonn authorities said Sweden had not told them about the call until this morning, Drozdiak reported.

The assumed grudge held against Sweden by the terrorist group, also known as the Baader-Meinhof gang after its founders, dates from 1975. In April of that year, a six-member group calling itself the Holger Meins commando took over the West German Embassy here at gunpoint and demanded the release of 26 fellow anarchists being held in West German prisons. Holger Meins was a leader of the group who had died in prison in 1974.

Then-chancellor Helmut Schmidt, a Socialist International colleague of Palme, refused the terrorists' demand. During a 12-hour siege of the embassy, its military attache and economic counselor were shot dead by the terrorists. The siege ended when a terrorist grenade exploded inside the building.

In the ensuing fire, one terrorist died. Five were captured, one of them seriously burned. Two days later, following close consultation with Schmidt, Palme extradited the four uninjured men to West Germany under a Swedish law allowing deportation of foreign terrorists without judicial procedure.

The burned terrorist, Siegfried Hausner, was extradited five days later on a stretcher.

He died within three days in a West German prison hospital, leading to claims of Swedish responsibility for his death from sympathizers of the terrorists.

Recent Kurdish threats against Palme revolve around the Kurdish Workers Party. During the past 18 months, at least three Kurds have been slain in Sweden in attacks believed by police to be connected with the party.