But US Homeland Security officials in Washington downplayed the threat, saying it is of "doubtful credibility".
Despite the differing takes on the seriousness of the threat, New York officials mobilised police officers to launch more intense searches of commuters' bags, brief cases, baby strollers and luggage.
Bloomberg said on Thursday the threat originated overseas and called it the most specific terrorist threat New York officials had received to date.
No one in New York has been arrested or detained, Bloomberg said.
A law enforcement official who spoke on condition of anonymity said the threat was "specific to place, time and method", and that the method is bombing.
"We have never had before a specific threat to our subway system," Bloomberg said at a news conference, adding that he planned to take the subway home on Thursday night.
In Washington, Homeland Security Department spokesman Russ Knocke said the agency received what it called a "specific but doubtful threat" to the subway system.
"The intelligence community has concluded this information to be of doubtful credibility," Knocke said.
"We have never had before a specific threat to our subway system"
New York mayor
"We shared this information early on with state and local authorities in New York."
Knocke refused to elaborate on why the intelligence was considered doubtful, but assumed New York City's public warning was made "out of an abundance of caution".
An estimated 4.5 million passengers ride the New York subway on an average weekday. The system has more than 468 subway stations.
New York's security level remained at orange, the same level it has stayed at since 11 September.