An al-Shabab statement says that any likely military operation in Somalia will lead to heavy loss of life among Ethiopian soldiers.
On Friday, East African leaders urged Ethiopia to support African Union, Kenyan, and Somali troops battling against al-Shabab fighters.
Earlier this month, several hundred Ethiopian troops reportedly crossed into southern and central Somalia as part of an offensive against the fighters.
Nairobi accuses the al-Shabab of kidnapping foreigners on its soil. The group rejects the charges.
In 2006, Ethiopia attacked Somalia with US backing. It pulled out three years later after failing to restore order in Somalia.
Also last month, Kenya dispatched soldiers over its border into Somalia to pursue Shabab militants, which it accuses of being behind the kidnapping of several foreigners on its territory. Al-Shabab has denied involvement.
Somalia has not had a functioning government since 1991, when warlords overthrew former dictator Mohamed Siad Barre.