It said the US consular agency there "will be closed until further notice".
While these groups don't usually target tourists, the advisory says "armed clashes" between criminals and security forces can occur without warning and Canadians could be "caught in the crossfire".
Mexican officials on Thursday however, insisted Playa Del Carmen was safe, noting President Enrique Pena Nieto is scheduled to attend an ocean conservation conference there later in the day.
The embassy announced a similar advisory that restricted government employees from using ferry service between Playa del Carmen and Cozumel Island after officials discovered another explosive device on a different ferry on March 1.
The U.S. Embassy issued a travel warning for a resort in Mexico following a ferry explosion.
The agency said it had "received information about a security threat" on Wednesday, and the The U.S. Consular Agency in Playa del Carmen will be closed until further notice.
Calgarian Aleks Samardzija witnessed a fatal shooting in 2017 at the Blue Parrot nightclub in Playa del Carmen.
The alert, issued Wednesday night, says US government employees have to cease traveling to the town "immediately" and "until further notice". "We encourage travelers to be aware of surroundings and exercise caution", Nauert said Wednesday night.
"Remain vigilant, stay in tourist areas and follow local media closely", the advisory reads.
The ferry explosion last month in Playa del Carmen injured 19 Mexicans and at least five USA citizens.
Mexican authorities say the ferry incidents are under investigation, while local media reported officials are looking at several possible motives, including the possibility that people linked to the ferry company could have bombed the boat to collect an insurance policy.
The regional head of in Quintana Roo-the state Playa del Carmen is part of-played down the security risks, issuing a statement that stressed local officials do not know why the USA has barred staffers from coming and underlined that the area is still well attended by tourists.
Last week four gunmen burst into a hospital in Cancun and shot to death a drug gang suspect and his wife.