Australia on Monday warned that there is a "high risk of terror attack" in New Delhi during the Commonwealth Games, while a jittery New Zealand also expressed concerns about the security of its athletes in the wake of a shooting incident in the Indian capital targetting foreigners.

In its latest travel advisory, Australia's Department of Foreign Affairs said, "Australians in New Delhi should be aware that the Commonwealth Games will be held in a security environment where there is a high risk of terrorism."

"Pay close attention to your personal security at all times and monitor the media for information about possible new safety or security risks. Terrorist attacks could occur at any time anywhere in India with little or no warning.

"We continue to receive reporting that terrorists plan to attack public places, including hotels and tourist locations, in New Delhi, Mumbai and other major cities. Terrorists may also be planning attacks against Indian political and security interests," the advisory stated.

Australia's Sports Minister Mark Arbib, also urged the athletes to exercise "extreme caution" during the Games.

"The government travel advice urges Australians to 'exercise a high degree of caution in India, including in New Delhi'. We continue to receive reports of possible terrorist attacks in New Delhi, Mumbai and other cities."

The words of caution came after two Taiwanese tourists were injured in a firing incident in Delhi on Sunday. The Games Organisers immediately issued a statement assuring fool-proof security during the Games.

New Zealand Prime Minister John Key said the situation is being monitored but the country remains committed to participating in the Games.

"We are providing the best advice we can to the New Zealand Olympic Committee who have to make that decision by September 24 whether to travel to Delhi or not," Key told Radio New Zealand.

The New Zealand Olympic Committee said information is being sought on Sunday's firing incident.

New Zealand Athletes' Federation chief Rob Nichol, however, said the attack should not trigger panic reaction.

"It's important to remain reasonably calm and continue to have a bit of faith in the process," he said.

"It's definitely concerning, but it's not something that should necessarily result in a 180 degree shift. We always plan and ask questions around the worst-case scenario, because the reality is Delhi and India are at high risk of terrorist attack and there is a Commonwealth Games being staged there.

"If the athletes are going to go and if the Games are going to go ahead then you have to have security measures in place," he added.