Yemen boosted security around Western embassies on Sunday as Washington held urgent talks on an Al-Qaeda threat that prompted it to close missions across the Arab world.

Britain, France and Germany all closed their embassies in Sanaa for at least two days following the US warning that lawmakers in Washington said involved Al-Qaeda's Yemen and Saudi Arabia branch, Al-Qaeda in the Arabian Peninsula (AQAP).

Special forces with armoured personnel carriers were stationed outside the US embassy in Sanaa and the missions of Britain, France and Germany, and AFP correspondent reported.

Police and army checkpoints were set up on all main streets around the Yemeni capital, especially those leading to Western embassies.

National Security Adviser Susan Rice chaired White House talks to review Washington's response to the threat it revealed on Friday.

Also attending were Secretary of State John Kerry, Defence Secretary Chuck Hagel and Homeland Security Secretary Janet Napolitano as well as the heads of the CIA, the FBI and the National Security Agency, the White House said.

President Barack Obama did not attend but was briefed afterwards.

"Early this week, the president instructed his national security team to take all appropriate steps to protect the American people in light of a potential threat occurring in or emanating from the Arabian Peninsula," a White House statement said.

On Friday, Washington issued a worldwide travel warning, citing unspecified plans by Al-Qaeda to strike US interests in the Middle East or North Africa in August.

The White House meeting was held as Interpol issued a global security alert after hundreds of militants were set free in jailbreaks linked to Al-Qaeda, and as suicide bombers killed nine near the Indian consulate in the eastern Afghan city of Jalalabad.

The worldwide police agency said it suspected Al-Qaeda was involved in jailbreaks across nine countries, notably Iraq, Libya and Pakistan.

It said the breakouts had "led to the escape of hundreds of terrorists and other criminals" in the past month alone.

Interpol noted that this week marks the 15th anniversary of Al-Qaeda's bombing of the US embassies in Nairobi and Dar es Salaam, which killed more than 200 people and wounded thousands.

August also marks the anniversaries of attacks in India, Russia and Indonesia.

General Martin Dempsey, chairman of the Joint Chiefs of Staff, told ABC News that the threats were directed at Western interests, and were "more specific" than previous threats.

While an exact target was unknown, "the intent seems clear. The intent is to attack Western, not just US, interests," Dempsey said.

As a precaution, the State Department said it was closing at least 22 US embassies or consulates on Sunday, a working day in many Islamic countries, covering nearly all of the Arab world.

Britain and Germany said their embassies in Yemen would remain closed on Sunday and Monday, while France said its mission in Sanaa would stay shut for "several days."

The State Department issued a worldwide travel alert to US citizens.

"Current information suggests that Al-Qaeda and affiliated organisations continue to plan terrorist attacks both in the region and beyond, and that they may focus efforts to conduct attacks in the period between now and the end of August," it said.

The attacks were possible "particularly in the Middle East and north Africa, and possibly occurring in or emanating from the Arabian Peninsula."

The alert warned of "the potential for terrorists to attack public transportation systems and other tourist infrastructure."

Hours after the US alert was issued, an audio recording was posted on militant Islamist forums in which Al-Qaeda chief Ayman al-Zawahiri accused the United States of "plotting" with Egypt's military, secularists and Christians to overthrow Islamist president Mohamed Morsi.

In his first public comment on the July 3 military coup, the Egyptian-born Zawahiri said: "Crusaders and secularists and the Americanised army have converged ... with Gulf money and American plotting to topple Mohamed Morsi's government."

The United States has been especially cautious about security since an attack on its consulate in Libya's second city Benghazi on September 11 last year.

The assault, blamed on Islamist militants, killed four Americans, including ambassador Chris Stevens.

Washington considers AQAP to be Al-Qaeda's most active and dangerous branch and has waged an intensifying drone war against the group's militants in Yemen that saw three deadly strikes in the five days to August 1.

Obama hosted Yemeni President Abdrabuh Mansur Hadi for White House talks hours after the latest strike in which they discussed joint efforts against the jihadists.