The violence underlines fears of an upsurge in bloodshed after Ethiopia's military completes its troop withdrawal from Somalia.
On Thursday, the last of the Ethiopian forces withdrew from their bases in Mogadishu. They face a 500km journey through Somalia to the border.
Fighting in Somalia has killed more than 16,000 civilians since the start of 2007, after Ethiopia sent military forces to help the government drive out the Islamic Courts Union (ICU) from Mogadishu.
After vacating four bases on Tuesday, the Ethiopians left two more on Wednesday, one at a football stadium.
Abdullahi Hassan, a Mogadishu resident, told Reuters: "The Ethiopians have deserted the stadium and many residents have come to watch."
"We see only chairs and their footprints," he said.
Analysts say the ongoing withdrawal of 3,000 Ethiopian soldiers will leave a vacuum, triggering more violence by fighters who have battled the UN-backed administration for two years, and are now increasingly fighting each other.
Some Somalis are pessimistic about a return to peace in a nation that has suffered 18 years of incessant civil conflict.
Ahlu Sunna Waljamaca, a spokesman from a government-allied Sunni group, said: "No Somali wants the Ethiopians to stay, but there will be chaos whether they withdraw or not."
Sheikh Muktar Robow Mansoor, al-Shabaab's national spokesman, told a news conference in Mogadishu that his group would focus on attacking African Union (AU) troops and government targets.
"Now that the Ethiopians have left the bases we used to attack, we shall launch attacks on AMISOM (AU mission), the government and the airport," he said.
The AU currently has 3,500 soldiers in Somalia.