"Follow any instructions issued by the local authorities, avoid the vicinity of the Westgate shopping mall, and keep family in New Zealand informed of their well-being," a spokesman said.
The attack was reportedly carried out by gunmen with links to al-Qaeda.
"The Kenyan authorities are treating the incident as a terrorist attack and are responding accordingly," Mfat said.
Somalia's Islamic extremist group al-Shabab has claimed responsibility and said the attack was retribution for Kenyan forces' 2011 push into Somalia.
The rebels threatened more attacks.
Al-Shabab said on its Twitter feed that Kenyan security officials were trying to open negotiations.
"There will be no negotiations whatsoever," al-Shabab tweeted.
Reports of the attack revealed terrified shoppers huddled in back hallways and praying they would not be found by the armed gunmen, who were also lobbing grenades.
When the coast was thought to be clear, crying mothers clutching small children and blood-splattered men sprinted out of the four-storey mall.
Kenyan President Uhuru Kenyatta called the security operation under way "delicate" and said a top priority was to safeguard hostages.
Witnesses said at least five gunmen - including at least one woman - first attacked an outdoor cafe at Nairobi's Westgate Mall, a new shopping centre which hosts Nike, adidas and Bose stores.
The attack began shortly after noon with bursts of gunfire and grenades.
Shoppers - expatriates and rich Kenyans - fled into back corners of stores, back service hallways and bank vaults.
Over the next several hours, pockets of people poured out of the mall as undercover police moved in.
Some of the wounded were moved out in shopping trolleys.
"We started by hearing gunshots downstairs and outside. Later we heard them come inside.
"We took cover. Then we saw two gunmen wearing black turbans. I saw them shoot," said Patrick Kuria, an employee at Artcaffe.
