"We adjudge that it is a question of a handful of people who have travelled there to take part in training camps and to participate in illegal violent acts," said Patrik Peter at the Security Service.
The Security Service declined to comment on whether there was a link with the raised terror alert announced to the public on Friday.
The CIA has recently carried out a series of attacks with so-called unmanned drones against militant Islamists in Northern Waziristan in Pakistan. Several international media have connected the attacks with warnings over planned terrorist attacks in Europe which became known earlier in the week.
Terrorists carrying European passports have been reported to be heading for Europe with the intention of carrying out spectacular attacks in Germany, France and the UK.
The warnings are rumoured to have their basis in information obtained from a German citizen who was arrested in Afghanistan in July.
It became known on Friday that the Swedish Security Service had raised the terror alert in mid-September from level two to three, "elevated" - the highest level for five years.
"It is a question of a number of individuals in Sweden who have the intention and capacity to carry out attacks against Swedish targets. It is too early to say what motivates these individuals," said John Daniels at the Swedish Military Intelligence and Security Service (MUST) on Friday.