I'm adding a draft calculation here, which shows that Nogueira@'s answer is indeed correct:
We are studying a free massive Klein-Gordon QFT. The field operator is given by
$$ \hat{\phi}({\bf x}, t) = \frac{1}{(2 \pi)^3} \int \frac{d^3 {\bf k}}{\sqrt{2 \omega_k}}
\left( \hat{a}_k e^{i(\omega_k t - {\bf k}{\bf x})} + \hat{a}^{\dagger}_k e^{-i(\omega_k t - {\bf k}{\bf x})} \right).
$$
The bosonic Fock space is generated by the continuum of copies of the oscillator algebra:
$$ \left[ \hat{a}_k, \hat{a}^{\dagger}_l \right] = (2\pi)^3 \delta^{(3)}({\bf k} - {\bf l}), $$
and the vacuum state satisfying
$$ \hat{a}_k \left| 0 \right> = 0, \quad \forall {\bf k}. $$
One-particle states:
$$ \left| {\bf k} \right> = \hat{a}^{\dagger}_k \left| 0 \right>, $$
$$ \quad \left| {\bf x} \right> = \hat{\phi}(t_0, {\bf x}) \left| 0 \right> = \frac{1}{(2 \pi)^3} \int \frac{d^3 {\bf k}}{\sqrt{2 \omega_k}} e^{i {\bf k} {\bf x}} \left| {\bf k} \right>. $$
The inner product:
$$ \left< {\bf k} | {\bf l} \right> = \left< 0 \right| \hat{a}_l \hat{a}^{\dagger}_k \left| 0 \right> = \left< 0 \right| \left( \hat{a}^{\dagger}_k \hat{a}_l + (2\pi)^3 \delta^{(3)} ({\bf k} - {\bf l}) \right) \left| 0 \right> = (2\pi)^3 \delta^{(3)} ({\bf k} - {\bf l}). $$
$$ \left< {\bf x} | {\bf y} \right> = \frac{1}{(2 \pi)^6} \int \frac{d^3 {\bf k} \, d^3 {\bf l}}{\sqrt{4 \omega_k \omega_l}} e^{i (-{\bf k} {\bf x} + {\bf l} {\bf y})} \left< \bf{k} | \bf{l} \right> = \frac{1}{(2 \pi)^3} \int \frac{d^3 {\bf k} \, d^3 {\bf l}}{\sqrt{4 \omega_k \omega_l}} e^{i (-{\bf k} {\bf x} + {\bf l} {\bf y})} \delta^{(3)}({\bf k} - {\bf l}) = $$
$$ \frac{1}{(2 \pi)^3} \int \frac{d^3 {\bf k}}{2 \omega_k} e^{i {\bf k}({\bf y} - {\bf x})} = \frac{1}{2 (2\pi)^3} \intop_0^{\infty} d\rho \intop_0^{\pi} d \theta \intop_0^{2\pi} d\varphi \, \frac{\rho^2 \sin{\theta}e^{i \rho \Delta x \cos \theta}}{\rho^2 + m^2} = $$
$$ \frac{1}{8 \pi^2} \intop_0^{\infty} d\rho \intop_0^{\pi} d \theta \, \frac{\rho^2 \sin{\theta}e^{i \rho \Delta x \cos \theta}}{\rho^2 + m^2} = \frac{1}{4 \pi^2} \intop_0^{\infty} d\rho \, \frac{\rho \sin (\rho \Delta x)}{\Delta x (\rho^2 + m^2)} = \frac{e^{- m \Delta x}}{8 \pi \Delta x}. $$
$$ \left< {\bf x} | {\bf y} \right> = \frac{e^{-m \left| {\bf x} - {\bf y} \right|}}{8 \pi \left| {\bf x} - {\bf y} \right|} \neq \text{const} \cdot \delta^{(3)}({\bf x} - {\bf y}) !!! $$
The final formula agrees with what Nogueira@ wrote in his answer, and his interpretation follows from this.