The six-minute video released by Islamic State fighters in Iraq applauds last week's Paris attacks, according to a translation of the Arabic provided by the Maryland-based SITE Intelligence Group.
The latest threat comes one day after the militant group put out a video showing scenes of New York City, which suggested it was also a target.
See the history of captives held by ISIS:
ISIS beheading incidents and hostages
New Islamic State video threatens attack on White House
A screen grab from a video posted to YouTube by ISIS that claims to show journalist James Foley, who was abducted in 2012 while covering the Syria civil war, being beheaded.
GlobalPost Journalist James Foley talks about being held by the Libyan Government. Foley was later abducted in Syria and a video by Islamic State militants was released in 2014 that purported to show his killing by the militant group.
(Photo by Jonathan Wiggs/The Boston Globe via Getty Images)
Lebaneses carry the funeral of Lebanese soldier Ali al-Sayyed (28) who kidnapped by Islamic State and the al-Nusra Front members and killed by Islamic State members, in Akkar, Lebanon on 3 September, 2014.
(Photo by Mahmud Saleh/Anadolu Agency/Getty Images)
Execution of Steven Sotloff by Jihadi John of ISIS. In August 2013, Sotloff was kidnapped in Aleppo, Syria, and held captive by militants from the Islamic State of Iraq and the Levant. Jihadi John (Mohammed Emwazi, born August 1988) a British man who is thought to be the person seen in several videos produced by the Islamic extremist group ISIL showing the beheadings of a number of captives in 2014 and 2015.
(Photo by Universal History Archive/UIG via Getty Images)
The mother (C) of Lebanese soldier Abbas Medlej, who was beheaded by Islamic State militants in Arsal, mourns in his hometown in Ansar, south Baalbak September 7, 2014. Islamic State militants have beheaded the captive Lebanese soldier, images published on social media showed on Saturday, the second Lebanese soldier to be killed in captivity by the group since it raided a Lebanese border town last month.
A masked, black-clad militant, who has been identified by the Washington Post newspaper as a Briton named Mohammed Emwazi, stands next to a man purported to be David Haines in this still image from a video obtained from SITE Intel Group website February 26, 2015. The "Jihadi John" killer who has featured in several Islamic State beheading videos is Emwazi, a Briton from a middle class family who grew up in London and graduated from college with a degree in computer programming, the Washington Post newspaper said. In videos released by Islamic State (IS), the masked, black-clad militant brandishing a knife and speaking with an English accent appears to have carried out the beheadings of hostages including Americans and Britons. The Washington Post said Emwazi, who used the videos to threaten the West and taunt leaders such as President Barack Obama and British Prime Minister David Cameron, was believed to have travelled to Syria around 2012 and to have later joined IS. British government sources and the police refused to confirm or deny the report, citing a live anti-terrorism investigation, a position mirrored by a spokeswoman for Cameron.
(REUTERS/SITE Intel Group via Reuters TV)
A man makes the victory sign behind a picture of Herve Gourdel, the hiker beheaded by Algerian militants linked to the Islamic State group during a demonstration in support of Kurdish forces fighting against the Islamic State (IS) in Syria on October 2, 2014 in Marseille, southern France.
(BERTRAND LANGLOIS/AFP/Getty Images)
Screen shot from an Internet video released Friday that purports to show an ISIS militant beheading British aid worker Alan Henning, who had been taken hostage by the extremist group.
The order of service for the memorial service for murdered British aid worker Alan Henning at Eccles Parish Church on November 22, 2014 in Manchester, United Kingdom. The 47-year-old taxi driver was captured in December while delivering food and supplies to Syrian refugees and was murdered by Islamic State (IS) militants in Syria.
(Photo by Andy Kelvin - WPA Pool/Getty Images)
Yellow ribbons for murdered British hostage Alan Henning, are attached to trees in the town centre of Eccles, north west England on October 4, 2014. Britain reacted with horror on Saturday to the beheading of hostage Alan Henning, who many had dared to hope might be spared after a cross-community appeal for his release. Prime Minister David Cameron led tributes to the 47-year-old taxi driver who went to the region as a volunteer to deliver aid and whose death was announced by Islamic State jihadists in a video released late Friday.
(OLI SCARFF/AFP/Getty Images)
A man walks past screens displaying a television news programme showing an image of Kenji Goto, one of two Japanese citizens taken captive by Islamic State militants, on a street in Tokyo January 25, 2015. Japanese Prime Minister Shinzo Abe on Sunday called the apparent killing of Japanese captive Haruna Yukawa by Islamic State militants "outrageous and impermissible," and again called for the group to release Goto, the second Japanese national they are holding. The words on the screen read "Japanese hostage incident" (top L) and "a still image posted on YouTube" (top R).
Jordanian youth gather for a candle light vigil to condemn the killing of the two Japanese hostages, Haruna Yukawa and Kenji Goto, by the Islamic State (ISIS) group, in a gesture showing solidairity with Japanese people, in front of the Japanese embassy on February 2, 2015 in Amman, Jordan.
(Photo by Jordan Pix/Getty Images)
Men in orange jumpsuits purported to be Egyptian Christians held captive by the Islamic State (IS) kneel in front of armed men along a beach said to be near Tripoli, in this still image from an undated video made available on social media on February 15, 2015. Islamic State released the video on Sunday purporting to show the beheading of 21 Egyptian Christians kidnapped in Libya. In the video, militants in black marched the captives to a beach that the group said was near Tripoli. They were forced down onto their knees, then beheaded. Egypt's state news agency MENA quoted the spokesman for the Coptic Church as confirming that 21 Egyptian Christians believed to be held by Islamic State were dead.
(REUTERS/Social media via Reuters TV)
A woman cries as she prays for Tomislav Salopek in a local church in Vrpolje village, Croatia, August 12, 2015. An Egyptian group allied to Islamic State has published a photograph it says showed the beheaded body of a Croatian hostage it threatened to kill last week, the SITE monitoring service said on Wednesday. Reuters could not independently verify the authenticity of the picture, which carried a caption that said: "killing of the Croatian hostage, due to his country's participation in the war against Islamic State, after the deadline expired." Last week, an online video purportedly from Sinai Province showed a man who identified himself as Tomislav Salopek and said the group would kill him in 48 hours unless Muslim women in Egyptian jails were freed.
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Islamic State, which controls a large territory in Syria and Iraq, has claimed responsibility for last Friday's attacks in Paris in which 129 people were killed.
FBI Director James Comey said on Thursday he was not aware of any credible threat of a "Paris-type attack" in the United States.
State Department spokesman John Kirby told CNN that Thursday's video was being examined to determine its "veracity." "Everybody here in the United States government are taking these threats seriously," he said.
The U.S. Department of Homeland Security did not immediately respond to a request for comment on the video.
The video opens with television news clips of the Paris attacks and then shows two militants separately speaking to the camera.