Staff-Sgt. Brent Meyer says the Mounties are investigating the "exact contents and authenticity" of the alleged Al-Shabab video.
The Washington-based terrorism monitoring group SITE, widely considered authoritative on such matters, says the video from the Somalian Islamic extremist group calls for attacks on malls in Canada, the U.S. and Britain.
The brief reference to the West Edmonton Mall is near the end of a 76-minute documentary style video about the 2013 attack on the upscale Westgate Mall in Nairobi, in which 67 people were killed.
"What if such an attack were to occur in the Mall of America in Minnesota? Or the West Edmonton Mall in Canada? Or in London's Oxford Street?" a masked man said on the video.
Al-Shabab claimed responsibility for the attack in Kenya.
Meyer says "there is no evidence at this time of any specific or imminent threat to Canadians."
North American political leaders condemned those who produced the video.
"Canada will not be intimidated by threats from any terrorist organization," Public Safety Minister Steven Blaney said in the statement.
Speaking on morning talks shows in the U.S., Department of Homeland Security Secretary Jeh Johnson, called the video "the new phase" of the global terrorist threat and said the U.S. took such threats seriously.
"These groups are relying more and more on independent actors to become inspired, drawn to the cause and they'll attack on their own," Johnson said, speaking on CNN's "State of the Union."
"I am very concerned about serious potential threats of independent actors here in the United States. We've seen this now in Europe, we've seen this in Canada."
Edmonton's deputy police chief, Brian Simpson, told reporters at a news conference that West Edmonton Mall is safe.
"We need to do our day to day business. That's how we effectively deal with this. We don't give them more power than they deserve, and quite frankly they don't deserve any power because they are terrorists."
With files from The Associated Press
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