NAIROBI, Feb 6 (Reuters) - The Finnish Embassy in Kenya said on Wednesday it had received an email warning that it was at risk of a possible attack linked to Somalia.

"We have received a warning through email indicating the threat could come through Ethiopia. The message indicates a Somali connection," Helsinki's envoy, Heli Sirve, told Reuters.

The ambassador said officials at her embassy had contacted Kenya's anti-terrorism police to investigate the email, which was received at the weekend.

She said it was not clear who sent the message, and she did not speculate on why the Finnish mission might be attacked.

Ethiopian military forces backing Somalia's interim government have faced an insurgency in the Somali capital since routing a hardline Islamist movement from Mogadishu a year ago.

Addis Ababa is also fighting separatist guerrillas in its remote eastern Ogaden region, which borders anarchic Somalia. (Reporting by Jack Kimball; Editing by Richard Balmforth)

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