"The 'red alert' has nothing to do with Westgate. Her role in this attack is yet to be confirmed, but she is wanted on charges of possession of explosives and conspiracy to commit a felony," Ndegwa Muhoro, director of Kenya's Criminal Investigation Department, told Reuters early on Thursday.
Muhoro said she is wanted in a case related to another Briton, Jermaine Grant, whom police suspected of having ties to al Shabaab.
Police say Grant was arrested in a December 2011 raid which Lewthwaite escaped. He is on trial in Mombasa, charged with possession of explosives recovered from their apartment, and conspiracy to commit a felony, which he denies.
"We have no facts linking her to Westgate for now. If in the course of investigations these come up, we shall take action. We issued the alert after discovering evidence this month linking her to Grant and she would be charged with him," Muhoro said.
Police in Mombasa, a tourist hub, said they were also tracking four suspected militants after the siege of the swanky Westgate mall, which militants stormed on Saturday armed with assault rifles and grenades.
(Read more: Malls mull security boosts after attack)
The mall attack has demonstrated the reach of al Shabaab beyond Somalia, where Kenyan troops have joined other African forces to drive the group out of major urban areas, although it still controls swathes of the countryside.
Al Shabaab stormed the mall to demand Kenya pull its troops out, which President Uhuru Kenyatta has ruled out.
Many details of the four-day siege are unclear, including the identity of the attackers, who officials said numbered about a dozen. Suspicion of Lewthwaite, dubbed the "White Widow" in the British press, was triggered by witness accounts that one of raiders was a white woman.
But Kenya's government and Western officials have cautioned that they cannot confirm she was involved, or even that there were any women participants in the raid.
The government said five attackers were killed, along with at least 61 civilians and six security personnel.
Eleven suspects have been arrested, but it is not clear if any took part in the attack.
(Read more: EU threatens to stop sharing terrorist data with US)
Although the Red Cross lists 71 missing people, the government said it does not expect a big rise in the death toll.
Part of the Westgate mall collapsed in the siege, burying some bodies and hindering investigations, although forensic experts have started work while soldiers search for explosives. Officials said some blasts on Thursday were controlled ones.
"The army are still in there with the forensic teams," said one senior police officer near the mall.
Mombasa police said they were tracking a network of suspects linked to al Shabaab in the coastal region, home to many of Kenya's Muslims, who make up about 10 percent of the nation's 40 million people. Most Kenyans are Christians.