U.S. citizens should also "shelter in place" if they see any large gatherings or violence, the embassy said in an advisory issued Thursday.
American citizens were urged to "strongly consider deferring" any trips to the island of Nosy Be, where the men were killed and their bodies burned on the beach.
A stronger warning was issued by Britain's Foreign Office, which advised its citizens to avoid "all but essential" travel to Nosy Be.
British nationals now on the island "should stay indoors and follow local security advice," the warning said.
The Foreign Office noted the situation in the capital, Antananarivo, "remains volatile and demonstrations at short notice are likely."
Some 7,700 British citizens visited the East African island nation in 2012, and most visits were without incident, the statement said.
One of the victims of the attack, Roberto Gianfalla, "lived like a tramp" in Sicily before moving to France years ago, acquaintances in Palermo told the Italian news agency ANSA.
"He was a good guy but he sometimes lost control," said jeweler Tullio Marcera.
Before Gianfalla and a French tourist, Sebastien Judalet, were killed they reportedly confessed to killing an 8-year-old boy and taking some of his organs.