Abbas Byakagaba, the director of the police anti terrorism unit, told a news conference that the al Qaeda-affiliated insurgents could also strike on June 3, the Matyrs' Day public holiday and that they had boosted security in the country.
Al Shabaab, which has waged an insurgency against Somalia's Western-backed government, claimed responsibility for the bombings in Kampala while fans watched last year's World Cup final on television, killing 79.
The Somali insurgents have in the past issued warnings of possible strikes the east African country to try to force it to withdraw its peacekeeping troops deployed in Somalia, as part of an African Union mission (AMISOM).
"We have several events coming up: we have European Champions League finals, there's the Martyrs Day and the information we have is that al Shabaab is targeting these events," Byakagaba said, referring to the match at London's Wembley stadium between Manchester United and Barcelona.
Byakagaba said they had intelligence indicating that an unspecified number of al Shaabaab operatives had entered the country and were planning to launch attacks on crowded areas and big events, adding: "We have heightened our vigilance."
Earlier this week Uganda's opposition dismissed as scaremongering a police warning that al Shabaab was planning to assassinate their leaders and said it was a ploy to scare them off protests against food and fuel riots.
Al Shabaab has criticised Ugandans for re-electing President Yoweri Museveni, who they blame for invading their country.
AMISOM -- which also comprises soldiers from Burundi -- says its forces now control more than 60 percent of Mogadishu. Horn of Africa experts say they are all that prevent the insurgents from toppling an administration plagued by rifts and corruption.