At least 67 people were massacred in the upmarket shopping centre in Nairobi when gunmen stormed the crowded complex on September 21, firing from the hip and hurling grenades at shoppers and staff.
"Stay alert and watch each other's steps and activities, as we are still threatened by terror," the Ugandan police said in a message.
It followed a message Tuesday from the US embassy in Uganda which said it was continuing "to assess reports that a Westgate-style attack may soon occur in Kampala".
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Security was stepped up around town, but the embassy said that there was no further information on the timing or location of any attack.
The Al-Qaeda linked Shebab insurgents claimed the Westgate attack, saying it was in revenge for Kenya military action against the group in southern Somalia.
Uganda also has troops in Somalia with the African Union force that is battling the Shebab, and has been attacked on home soil by the extremists before, in 2010 bomb blasts that killed 76 people.
The warnings come as a Norwegian citizen of Somali origin was reported to be suspected of being one of the attackers who stormed the Westgate.
The 23-year-old was named by the BBC as Hassan Abdi Dhuhulow, and who is suspected of helping to plan and carry out the mall attack.
Dhuhulow was born in Somalia, but he and his family moved to Norway as refugees in 1999, according to relatives who spoke to the BBC.
However, other relatives denied it was Dhuhulow who appeared in security camera footage of the attack.
A propaganda video released this week by the Shebab praised foreign fighters, showing several insurgents it said had come from Britain and who had been killed in battle.
The video was apparently made before the Westgate attack as it made no reference to it, although it highlights the "suffering of Muslims in Kenya" as well as other countries.
The film, narrated by a man in a military jacket, face hooded in a black mask and speaking with an apparently British accent, claims fighters from multiple nations including Ethiopia, Eritrea, Lebanon, India and Pakistan had all fought with the force.
