Burundi and Uganda said Thursday they had beefed up security after Al-Shabab's deadly Nairobi mall attack amid fears the extremists would now strike Kenya's military partners in Somalia.

"Since the attack in Nairobi and the subsequent rumours of an impending attack in Burundi, the police have implemented a series of measures to be ready for any scenario," Burundian deputy police spokesman Pierre Nkurikiye told AFP.

The Al Qaeda-linked Al-Shabab claimed responsibility for the bloody four-day siege in a shopping centre packed with families, leaving at least 67 people dead, including many foreigners.

The group said the carnage was retribution for Kenya's invasion of southern Somalia two years ago in support of the embattled government's efforts to eradicate Islamist insurgents.

Kenyan troops have since recaptured the main southern city of Kismayo, which was controlled by the Al-Shabab for four years, and joined the African Union's AMISOM force.

Uganda was hit in 2010 when Al-Shabab attacks killed at least 76, Kenya was struck on Saturday and now many Burundians fear their country's turn has come.

Kenya, Uganda and Burundi contribute most of the 17,700 soldiers in the African Union's AMISOM force battling Al-Shabab in Somalia

"We are sure that after Kenya, Burundi is next on the list. We're the next target," said a civil servant in his sixties who gave his name as Patrice.

"They are going to punish all those countries who joined the fighting in Somalia. We are the only ones who have been spared," said a young man on the street who refused to give his name.

"They managed to perpetrate this attack Saturday... in a country that is much better prepared for terrorist attacks," said Alain, a Bujumbura banker. "In Bujumbura's official buildings, hospitals and markets, security is like Swiss cheese."

The police spokesman said house-to-house searches had been being carried out in the Swahili neighbourhoods of Bujumbura, with hundreds of undocumented people arrested and drugs and weapons seized.

Al-Shabab has repeatedly threatened reprisal attacks against Burundi, which has no borders with Somalia.

"Burundi becomes a serious potential threat now," a Western security official whose main focus is on Al-Shabab said.

Uganda also said Thursday that it raised the alert level in response to the Westgate mall attack.

"We have been on Al-Qaeda's hit-list for a long time but the Kenyan attack calls for the highest state of alert, because the threat is real," Interior Minister Aronda Nyakairima told AFP.

"We are strengthening security measures in partnership with the public, including community vigilance, installation of CCTV in public places, on roads and buildings to avert possible attacks," he said.

"Security at the border points is being enhanced," the minister added.

An AFP reporter said security was visibly tighter in the Ugandan capital Thursday, with private security performing thorough checks on people entering malls and office buildings.

Motorists were also prevented from parking near government buildings.

But Ethiopia, whose troops are also fighting the Al-Shabab in Somalia, in a statement from the foreign ministry dismissed fears and said the extremists pose no "imminent threat to the country's national security."