The new threat is causing a wave of fear among Olympic athletes and their families, causing some families to even cancel their travel plans.
The southern city of Volgograd was rocked by two suicide bombings in later December. Thirty-four people, including innocent travelers, were killed in the attacks.
An Islamic militant group in Dagestan posted a video on YouTube Sunday claiming responsibility for the bombings and threatened to strike the games in Sochi. The video shows the men preparing bomb-making materials.
More than 15,000 Americans, including the families of Olympic athletes, were expected to travel to Sochi to witness the Winter Olympics.
But after it was revealed that a suspected "black widow" bomber was spotted inside Sochi, some Olympic athletes are warning their loved ones to stay home.
U.S. Olympics speedskater Tucker Fredericks is one of the fastest humans on ice, but he asked his parents to cancel their trip out of fears for their safety.
"He wanted us to stay home so that he wouldn't have to worry about us, one less thing to be concerned about," said Fredericks' mother Shawn Fredericks.
Terror fears were sparked again when an alleged suicide bomber was reportedly seen in the downtown area of Sochi. She has since been identified as 22-year-old Ruzzana Ibragimova. Her husband, an Islamic militant, was killed in a shootout with police last year.
Investigators believe she is not alone. Two other women, identified as 26-year-old Zaira Aliyeva and 34-year-old Dzhannet Tsakhayever, are believed to be involved.
No other information was provided about the "black widows" or their motivation. The term "black widow" refers to the belief that women who have carried out past suicide attacks in Russia did so to avenge the deaths of husbands or other male relatives.
Russia has mounted an intense security operation in the city, but concern persists.
"The fact she's there is a major concern because it shows that a small group of determined individuals can infiltrate the Russian security apparatus and get into the heart of Sochi just a few weeks ahead of the Olympics," said Christopher Swift, professor of national security studies at Georgetown University.
The U.S. Olympic Ski Team has contracted with Global Rescue. If the U.S. Olympic Ski Team has any trouble, Global Rescue will get them all out of Sochi.
Global Rescue released the following statement about the issue: "Global Rescue provides life-saving medical advisory, evacuation, security and other critical emergency services to skiers, their families and USA's elite athletes. We're committed to protecting the health and safety of our athletes, both at Sochi and year-round."
The U.S. Navy also announced it has moved war ships in to the Black Sea near Sochi to aid with any support that could be requested during the 2014 Sochi Winter Olympic games.
The 2014 Winter Olympics run from Feb. 7-23.
The Associated Press contributed to this report.