One woman, who asked not to be named, said it was a real concern to her.
"That makes me nervous. I won't be coming back here until I feel safe again," she said.
Another woman said it made her concerned, but she would continue to shop at the malls.
In Wellington, shoppers were calm as they browsed through Westfield Queensgate in Lower Hutt.
Stacey Gatfield from Alicetown said she had heard about the video on the news last night.
"I was a little bit worried about it last night, but obviously it didn't faze me today. I had things to do."
Ms Gatfield said for her, it was a case of information going "in one ear and out the other".
"It's New Zealand. Maybe I am not that educated to think it is not possible it could happen here. But we are a little small country, why would anyone want to attack us?"
Kim Collier from Upper Hutt agreed, and also said he was not too concerned.
"Why would they waste their time on us? I can't imagine they would follow through anyway. I think it's fear-mongering."
All of the malls visited had a calm atmosphere and no obvious extra security on duty.
The al-Shabaab group murdered at least 63 people in a September 2013 attack in the Westgate mall in Nairobi, Kenya.
In the new video, a suspected al-Shabaab operative specifically advocated attacking major shopping centres in countries including Canada and the United States.
Westfield, which was founded in Australia, responded to the video yesterday.
Its Australasian arm Scentre Group, which operates 47 Westfield-branded shopping centres on both sides of the Tasman, including nine in New Zealand, said it was taking steps to keep its shopping centres safe.
"There is no evidence of an imminent threat to our shopping centres but as always Scentre Group will take every available step to keep our shopping centres safe for staff, retailers and customers.
"Scentre Group's policy is to not publicly discuss security procedures, however our heads of security continue to coordinate their activities with police and government agencies.
"As usual, significant resources continue to be devoted to security arrangements in our offices and shopping centres and they continue to operate as normal."