Zeidan said during a news conference an ambassador was stopped at gunpoint in Tripoli, forced out of his car and had his wallet stolen, the Libya Herald reported.
He warned attackers they should assume their actions Monday were monitored by surveillance cameras. He warned attackers they would be "listed as terrorists" for attacking foreign property and national interests.
The prime minister did not reveal the identity of the ambassador.
Former Libyan interim Chief of Staff Salem Gnaidi escaped an assassination attempt Sunday in Tripoli. He was shot in the arm but was expected to survive the minor injury.
Libya has been on edge since civil war brought an end to Moammar Gadhafi's reign over Libya. The leader died after falling into rebel hands in 2011.
Interpol issued a global security alert Saturday, calling on member states to look for any possible connection between al-Qaida and prison breaks in Pakistan, Iraq and Libya. The international police force set up a $2.9 million system in Tripoli to scan passports against its databases this year.
The U.S. State Department closed numerous embassies in the region last week in response to a heightened threat from terrorism.