Some of these markets have been bombed in the past.
Last February, an explosion at German Bakery, an established eatery popular with foreigners in the western city of Pune, killed at least 10 people.
The attack was the first this year since the co-ordinated Mumbai attacks of November 2008, which killed more than 150 people.
Police say the US alert underscored their suspicion that security at Games venues may prompt "terrorists" to turn to softer targets.
Threats to sporting events were underscored last week when bombs exploded outside a packed cricket stadium in south India, sparking fears the country may not be able to secure multi-city events involving tens of thousands of players and spectators.
India is also holding next year's cricket World Cup across eight cities.
Officials said the basis of the US travel alert was intercepted telephonic messages of Pakistan-based fighter groups.
"We are aware of the nature of the inputs the US State Department has," U K Bansal, a senior interior ministry official, told the Reuters news agency.
New Delhi and other Indian cities are already on high alert, but the specific nature of the US advisory prompted the authorities to hold several security review meetings on Thursday.
Australia and Britain have also issued travel advisories for India.