The 19-year-old woman became ill at a house in Paisley Road, Renfrew, at around 10.15pm on Sunday and died a short time later in hospital.
Two other women at the house, aged 18 and 19, and two men, aged 24 and 31, were taken to hospital and are being treated after showing symptoms consistent with drug misuse, police said.
A post-mortem examination will be carried out and the teenager's death is being treated as unexplained.
Chief Inspector Arlene Smith said: "Extensive inquiries are continuing into the circumstances of the woman's death and, although unconfirmed, one of the lines of enquiry is that prior to her taking unwell she may have taken an illegal substance.
"Given that other people have also fallen ill and are currently in hospital, Police Scotland has taken the decision to issue a warning.
"At this time it may be that the drug involved is MCAT. However, witnesses believe that the woman may have also taken ketamine. MCAT is the street name for methedrone. This is a class B drug which is sold in the form of white powder or capsules."
She added: "As a result, Police Scotland is issuing a warning to anyone who has obtained or taken this or similar substances. Do not take illicit drugs and stay away from any unknown substances. No one can predict the risks involved or the serious consequences."
Officers also appealed for anyone who may have attended a party in the Renfrew area over the weekend and has any information which could help police to come forward.
Anyone who may have taken the drug and experiences adverse side effects such as agitation, fever, tremors or confusion was also advised to go to their their nearest A&E department as a precaution.