About 100 armed police patrolled the street where the US consulate and several other diplomatic missions are located, some searching cars. A Nigerian police bomb disposal squad brought its van to the area.
The closure came after "there was some kind of terrorist threat made," US Maj. Holly Silkman, a spokeswoman for the Germany-based US European Command, told reporters in Dakar, Senegal.
The threat was "called in," she said, offering no further details. She is in Dakar for a US-led joint counterterrorism exercises in nine African countries.
The shutdown came Thursday afternoon and the consulate remained closed Friday, US Embassy officials in the Nigerian capital of Abuja said.
The Nigerian government had begun "to investigate and address the situation, in collaboration with the United States authorities," Nigeria's Foreign Ministry said in a statement.
All diplomatic missions on the street were closed, including
The US Embassy in Abuja was operating with only skeletal services, an embassy official said, speaking on condition of anonymity.
Earlier, US Embassy spokesman Rudolph Stewart had confirmed a "security incident."
"It's an ongoing incident which is currently under investigation," he said by telephone from Abuja, without elaborating. He said Nigerian police were "working closely with us on this matter."
The Foreign Office in London said Britain shut its Deputy High Commission in Lagos following the closure of the nearby US Consulate. "We'll reassess over the weekend, but the plan is to reopen on Monday," said British Deputy High Commissioner Martin Shearman from Abuja.
Al-Qaeda chief Osama Bin Laden purportedly marked Nigeria for liberation in a release posted on the Internet last year.
The country of around 130 million is roughly evenly split between Christians and Muslims.
Political, ethnic and religious violence has claimed well over 10,000 lives since President Olusegun Obasanjo came to power in a 1999 election, but the country has not experienced any terrorist bombings.