It sent e-mails to U.S. citizens quoting the resort island's governor as saying, "There is an indication of an attack to Bali tonight."
No additional details were released by Indonesian authorities and the governor's office could not immediately be reached to confirm the warning.
The Bali Tourism Board widely distributed the alert, the embassy said, adding that U.S. citizens should monitor local media and be aware of possible threats in Indonesia, the world's most populous Muslim-majority nation.
"While Indonesia's counterterrorism efforts have been ongoing and partly successful, violent elements have demonstrated a willingness and ability to carry out deadly attacks with little or no warning," the e-mail said.
The warning came six months after suicide blasts by a group claiming to be Southeast Asia's arm of al Qaeda killed seven people and injured more than 50 others at the Ritz-Carlton and J.W. Marriott hotels in the capital, Jakarta.
Bali has been hit hard by Islamic militants, with more than 220 deaths in suicide bombings in 2002 and 2005 targeting Westerners. Those attacks were carried out at restaurants and clubs frequented by foreigners.
Gov. Mangku Pastika called on people not to panic but to be alert, and gave no details about a specific threat, the statement said.
Indonesia's counterterrorism unit said it had received the warning but could not independently verify its accuracy.
Brig. Gen. Tito Karnavian said the information "still needs to be examined. We are still cross-checking."