A video released by Al Shabaab calls on its followers to "hasten to heaven" by attacking Oxford Street in central London, one of the UK's most iconic shopping districts, and two Westfield malls in east and west London.
It also threatened venues in America and Canada as well as "Jewish-owned" centres.
"The Metropolitan Police Service Counter-Terrorism Command is aware of the video and is assessing the content. We remind the public that downloading extremist material may constitute an offence," a Met police spokesperson said.
In the 76-minute video, which is being examined by police specialists, the extremist group says it wants its supporters to carry out an attack in the UK similar to the deadly 2013 shooting at the Westgate Mall in the Kenya.
A total of 67 people died in the attack on the Kenyan shopping centre, which lasted over a number of days in September 2013.
The masked militant in the terror video speaks with a British-sounding accent.
One of the US malls highlighted - the Mall of America, in Minnesota - stepped up security overnight amid fears radicalised Muslims are preparing an imminent attack.
Minnesota is home to a large Somali population.
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