DUBAI (AFP) - An media group linked to the Islamic State in Iraq and Syria (ISIS) has released a video claiming to show the shooting of a Danish national by its "supporters" in Saudi Arabia last month, US-based monitoring group SITE said.

Denmark has confirmed that one of its nationals was shot and wounded in the Saudi capital Riyadh on November 22.

A nearly three-minute video distributed on social networks Monday by Al-Battar Media Foundation opens with a title reading: "Supporters of the Islamic State in the Land of the Two Holy Mosques," a name used to refer to Saudi Arabia, home to Islam's holiest shrines.

It carries an audio recording allegedly by ISIS leader Abu Bakr al-Baghdadi telling Saudis: "You have the head of the snake and the source of the disease, so do not forget to sharpen your swords." Saudi rulers will see "no more security or rest," he threatens, and "there is no longer a place for polytheists" in the Arabian Peninsula.

His speech is followed by another recording attributed to ISIS spokesman Abu Mohammed al-Adnani urging Muslims to attack Westerners by any means, even if only to "spit on their faces".

The video then shows a clip of an individual shooting from the backseat window of a vehicle at the driver of a white car on a highway in a desert area.

It identifies the driver of the white car as Danish citizen "Thomas Hopner." The Dane was driving away from work at a company in Riyadh's Al-Kharj Road area when he was shot in the shoulder from "an unknown source", according to the official Saudi Press Agency.

General Mansour al-Turki, spokesman for the Saudi interior ministry, told AFP on Tuesday that no suspect has been arrested but the investigation into the shooting continues.

"We never excluded that the motive could be terrorist-related," he said.

The rare incident came as Saudi Arabia, the United Arab Emirates, Jordan and Bahrain are taking part in US-led air strikes against ISIS in Syria, raising concerns about possible retaliation in the kingdom.

Denmark is among Western countries taking part in a similar campaign against ISIS in Iraq.

Last Saturday, an attacker stabbed and wounded a Canadian while he shopped at a mall in Dhahran on Saudi Arabia's Gulf coast.

And in October, a Saudi-American former employee of a US defence contractor shot dead an American colleague and wounded another in Riyadh. The suspect had recently been fired from his job, officials said.

That was the first deadly attack on Westerners in Saudi Arabia since several were killed in a wave of Al-Qaeda violence between 2003 and 2007.