JAKARTA, Nov 4 (Reuters) - Indonesian police were investigating on Tuesday a threat to blow up the U.S. and Australian embassies in Jakarta if the Bali bombers are executed, police said.

Security has been increased across Indonesia in the last few days ahead of the expected executions of three Islamic militants sentenced to death for their role in attacks on two nightclubs in Bali in 2002 that killed 202 people.

"A bomb threat against the U.S. and Australian embassies was sent via a mobile phone text message," National Police spokesman Abubakar Nataprawira said, adding an investigation was underway.

The state Antara news agency quoted Central Jakarta police spokesman Adjunct Senior Commissioner Heri Wibowo as saying the the text message threatened to blow up the two embassies if the three militants were executed.

Tristram Perry, a spokesman for the U.S. embassy in Jakarta, said that the embassy remained open.

"We take all these threats seriously and we are are working closely with the local Indonesian authorities and police to deal with it," Perry said. (Reporting by Telly Nathalia and Ed Davies; Editing by Bill Tarrant)

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