The attack, a targeted suicide bombing attack on a bus carrying 42 Israelis, was believed to have been carried out by Hezbollah terrorists.
"The New Jersey State Police is investigating a bomb threat at the American Dream Mall," Governor Murphy said in a post on the X social media network.
A police officer at the scene had told a Reuters reporter: "No entrance, there is a bomb".
The bombing on Monday targeted the Jale Siyaad military academy.
Ted Kaczynski, who was convicted of killing three people and wounding more than 20 others as the "Unabomber," died in a North Carolina federal prison on Saturday.
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