"Timing of the attack is not known, however, the embassy has reason to believe that the potential attack is in the last stages of planning," the embassy said in a statement.
Kenya has been hit by several grenade attacks targeting bus stations and bars since it sent troops into southern Somalia in October to battle the Al Qaeda-affiliated Shebab insurgents it blames for cross-border attacks.
In the latest attack on April 1, at least one person was killed and 18 others wounded when explosives went off in the coastal city of Mombasa and a nearby town.
Kenyan police welcomed the warning.
"The statement cannot be taken for granted. It is something that we are taking with a lot of seriousness. We have to use all the possible means to avert any attack," deputy police spokesman Charles Owino told AFP.
The extremist Shebab rebels warned Nairobi of reprisal attacks, prompting security officials to ramp up surveillance, while guards at several buildings, including shopping malls, are now screening visitors.
In 1998, the US embassy, then in central Nairobi, was bombed by Al Qaeda operatives who rammed its gate with an explosives-laden truck.
A total of 213 people, including 12 Americans and 34 local embassy staff, died in the August 7, 1998 bombing. The United States has since moved its embassy out of the city centre. (*)
Editor: Kunto Wibisono
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