"You will in coming days see your refinery bombed," Shekau warned in the 28-minute video obtained by a news agency. It is unclear when the video was recorded. (Agencies)
"Niger Delta, you are in trouble," Shekau said, speaking in Hausa, the dominant language in northern Nigeria.
The video released on Wednesday was shot in an open field, where Shekau was surrounded by an armoured tank, two military vans and about a dozen gun-bearing soldiers.
Nigeria, Africa's largest oil producer, derives more than 90 percent of its foreign exchange earnings from oil.
US government, which has designated Shekau a terrorist, has offered a reward of up to USD seven million for information on his whereabouts.
In the video, Shekau, who admitted killing an Islamic cleric, Adam Albani, about two weeks ago in the northern Nigerian city of Zaria, also threatened to kill other Muslim and political figures in the country, including the respected Shehu of Borno, a prominent Muslim leader, and the Emir of Kano, Ado Bayero, who was attacked by suspected Islamists last year.
"The reason why I will kill you is you are infidels. You follow democracy. Whoever follows democracy is an infidel. This is Shekau. This is why I am in enmity with you," he said.
"You will in coming days see your refinery bombed," Shekau warned in the 28-minute video obtained by a news agency. It is unclear when the video was recorded.