According to crimelibrary.com, it was a myth all along...

"Joseph Pistone retired from the FBI in 1986. He lectures at the academy at Quantico, has written two books, served as research consultant on the hit movie of his story, “Donnie Brasco” and has recently been involved in a television series on the Mafia. It was claimed that the Mob put a contract out on him for $500,000. The FBI took it seriously enough to approach Paul Castellano when he was boss of the Gambino family and apparently the most powerful crime figure in New York to make sure nothing happened to Pistone. It was probably a myth, like so much of Mob lore, but Pistone is prepared just in case and always travels with a .38 packed on his hip."

http://www.crimelibrary.com/gangsters_outlaws/family_epics/bonanno/18.html?sect=16