The official warning, in a message for U.S. citizens in Nigeria, gave few details, but said potential targets included official and commercial installations in the capital Abuja and the commercial city of Lagos.
"The U.S. Mission in Nigeria has received information that U.S. and other Western interests in Nigeria are currently at risk for terrorist attack," the statement said.
A private security consultant said he had also received a similar warning from the U.S. embassy which stated that the threat was seen until mid-October.
Militant attacks on multi-billion dollar Western oil facilities in the Niger Delta are common, but there has never been any large scale terrorist attack on Western targets outside the Niger Delta in the far south of the country.
Nigeria's Foreign Minister Ojo Maduekwe berated foreign diplomats on Wednesday over what he said were excessive concerns voiced by their countries about insecurity in the delta.
The U.S. and other Western states had warned their citizens against travel to the lawless region, where attacks have cut a fifth of Nigeria's oil production capacity since early 2006.
Nigeria's 140 million people are roughly equally split between Christians mostly in the south and Muslims in the north.
They co-exist peacefully most of the time but thousands have died in sporadic sectarian clashes since Nigeria returned to democracy in 1999 after nearly three decades of army rule.
Analysts said the alert on Nigeria, which is the fifth largest oil supplier to the United States, could be related to the anniversary of the September 11 attacks.
"Any 'Kenya-Tanzania' type attacks in Nigeria will further exacerbate the country's risk profile and raise operating costs for Western energy companies operating there," said Sebastian Spio-Garbrah of Eurasia Group.
Washington had previously said Nigeria was a natural target for terrorists looking to expand their operations because the allure of radical Islam was attracting many Nigerians.
In 2003 al Qaeda leader Osama bin Laden included Nigeria in a list of six countries he said he wanted to see liberated from enslavement to Washington.
Shortly after bin Laden's comment, a little-known group called the Nigerian Taliban launched a series of armed attacks on police stations and government buildings in the remote northeast states of Yobe and Borno in late 2003 and early 2004.
This prompted a military crackdown in which at least 20 people were killed. The Taliban, who said they wanted an Islamic state in Nigeria, have hardly been heard of since.
Comment: So this unknown group just popped up to give credit to the bogus bin Laden statement and demonise Muslims before vanishing again. Standard intelligence operations.
Always ask yourself, who benefits.