Kenyan authorities had intelligence pointing to an attack in Nairobi a day before the Westgate mall assault.
According to counterterrorism documents, the Government and military were warned al-Shabaab planned an attack on the capital where they would storm a building and hold hostages.
There are also reports that Kenyan intelligence agents were at Westgate a few hours before the crowded shopping centre was attacked in a four-day siege that left at least 67 dead.
"We cannot say that this attack comes as a surprise," said Farah Maalim, former Deputy Speaker of the National Assembly. "The possibility of something like this happening, and of failures in the Kenyan intelligence community, has worried us for years."
Kenya refuses to comment on reports of warnings but officials say they are still investigating the relationship between the attackers and al-Shabaab's local offshoot, al-Hijra.