Home Minister Rajnath Singh held a meeting with the intelligence agencies over the issue. National Security Advisor Ajit Doval was present at the meeting.
Sources said an alert has been issued regarding the threat to all the states.
Al Qaeda leader Ayman al-Zawahiri has in a 55-minute video message announced the creation of an Indian branch of his militant group to "raise the flag of jihad" across South Asia.
In the video Zawahari announced the formation of "Al Qaeda in the Indian subcontinent".