Interpol has issued an arrest warrant at the request of Kenya for a British citizen dubbed as the "white widow", following a deadly attack on a shopping centre in its capital which killed 71 people.

The international police agency issued an alert for 29-year-old Samantha Lewthwaite on Thursday.

The announcement of Interpol's "red notice" made no mention of the siege of Nairobi's Westgate mall by fighters from Somalia's al-Shabab group.

British police have cited Lewthwaite as a possible suspect. The Interpol notice, however, made no mention of Westgate mall.

Lewthwaite, a Muslim convert, whose first husband was one of the suicide bombers in the 2005 attack on the London transit system that killed 52 commuters, is wanted by Kenyan authorities on charges of possession of explosives and conspiracy to commit a felony dating back to December 2011.

The Interpol alert requires member countries to detain the suspect pending extradition procedures.

It said she was also believed to use the alias "Natalie Webb".

Earlier on Thursday, armed men had stormed a Kenyan police compound located in a town near Kenya's border with Somalia in which two police officers were killed. Al-Shabab claimed responsibility for the attack, five days after the attack on Westgate mall. 

Three others were injured and at least 10 vehicles were set ablaze. 

A police official said that the attackers struck the camp in the middle of the night.

The Interpol notice came on the same day as an attack on a security post near Kenya's border with Somalia, two Kenyan police officers were killed and three others were injured.

The attack on Mandera town came hours after al-Shabab threatened that violence would continue until Kenyan troops withdrew from Somalia.

The group's leader, Ahmed Godane Shaykh Mukhtar Abu Zubayr, warned the Kenyan public there was no way they could "withstand a war of attrition inside your own country", in a statement posted on the internet late on Wednesday.

"Make your choice today and withdraw all your forces,..." Godane said. "Otherwise be prepared for an abundance of blood that will be spilt in your country, economic downfall and displacement."

Source: Agencies