"If the Netherlands enforce its anti-Islamic policies, it will ensure that they will be the target of an attack by a jihadist group," Taliban spokesman Sabiullah Mujahid told the de Volkskrant newspaper.
Last week the free-market Liberals and centre-right Christian Democrats formed a minority government in The Hague, backed by Wilders' Freedom Party.
In return, his anti-immigrant party has demanded a ban on the burqa and a 50 percent reduction in the number of immigrations from Muslim countries.
A Taliban commander in Pakistan has already threatened the Netherlands in response to Wilders' involvement in government.
The Dutch authorities, however, have not increased the official terrorism alert.