A man has hurled a hand grenade at the United States embassy building in Podgorica, the capital of Montenegro, before blowing himself up with another explosive device, media in the city have reported.

The attack came five minutes before midnight on Wednesday, web portal www.portalanalitika.me said, adding that citizens in the area heard two explosions.

"There was an incident," a police official, who declined to give his name, said. He did not provide details.

Police vehicle blocked the street where the embassy is located.

The embassy warned US citizens to stay away until further notice.

"The US embassy in Podgorica advises US citizens there is an active security situation at the US embassy in Podgorica," it said on its website.

"Avoid the embassy until further notice."

Montenegro, the smallest of the former Yugoslav republics, joined NATO last May, the 29th country to do so.

Reuters, AP