A letter delivered to a local government office in the Balinese regency of Buleleng warns the terror network responsible for the blasts outside the Sarinah shopping mall were "ready to blow up these cities in the name of Allah".

"Our members are currently present in Denpasar and Singaraja," it said. It warned they would attack shopping centres, offices and tourism destinations."

Buleleng police chief Heri Heriyadi told Fairfax Media the police were conducting a full investigation, including taking witness accounts and scanning CCTV footage.

He said that since the Jakarta attacks the whole of Bali was on the highest possible alert for a terrorist attack.

"Regardless of whether the letter is serious or not, we always take it seriously," Mr Heriyadi said.

"Once we have something, we will notify the media."

He said police normally conducted daily patrols and now they were being conducted four to five times a day.

Mr Heriyadi said the letter had been delivered to the local government office at Buleleng before 9am this morning.

"When the letter was opened by administration staff the situation turned quite chaotic," he said.

"It was a threatening letter, one of our team was there, saw the letter and the ruckus, they immediately took the letter and witnesses to police station, so we can do an immediate follow up."

The Australian government website smarttraveller.com.au advises Australia to exercise a high degree of caution in Indonesia, including Bali, at this time due to the high threat of terrorist attack.

It updated its advice on January 14, saying a number of explosions had occurred near the Sarinah Plaza on Thamrin St in central Jakarta.

However the overall level of advice has not changed since the attacks.