The blast occurred at 8.20am (0720 GMT) as the president was on his way to meet EU foreign policy chief Javier Solana in the Kosovo parliament, a police spokeswoman said.
The explosion occurred close to a government building and at least one vehicle in the president's convoy was damaged in the blast.
"The blast was heard coming from a garbage container," the spokeswoman said. The cause of the blast was not immediately clear.
An AP reporter saw the president being transferred from one car to another after the blast and he appeared to be unharmed.
The windows of nearby shops were shattered and a small metal garbage bin at the roadside was destroyed.
A police officer at the scene said on condition of anonymity that the explosion appeared to have been caused by a remote controlled explosive device.