The US says it wants missile defence in eastern Europe to counter threats from states like Iran and North Korea.
On Sunday, Russian President Vladimir Putin said Iran was not a threat to the US, hinting that Russia was the target.
French President Nicolas Sarkozy has said he will have "frank" talks with Mr Putin this week about the threat.
'Stormy summit'
Washington wants to deploy interceptor rockets in Poland and a radar base in the Czech Republic to counter what it describes as a potential threat from "rogue states" such as Iran and North Korea.
It insists the shield is not aimed at Russia.
"As far as I am aware, the only country speculating about targeting Europe with missiles is the Russian Federation," Nato spokesman James Appathurai said.
"These kind of comments are unhelpful and unwelcome."
The new French president will hold his first talks with Mr Putin at this week's G8 summit in the German resort of Heiligendamm.
"I will listen attentively to him. He called for a frank dialogue. From my side, it will be frank," Mr Sarkozy said.
US President George W Bush is also due to meet Mr Putin at the three-day summit, which starts on Wednesday.
The BBC's Rupert Wingfield-Hayes in Moscow says that if Mr Putin's words are anything to go by, the summit is likely to be stormy.
'Joke of the year'
Mr Putin issued his warning in an interview with foreign reporters ahead of the G8 meeting.
"If the American nuclear potential grows in European territory, we will have to have new targets in Europe," Mr Putin said.
He said neither Iran nor North Korea had the weapons that the US was seeking to shoot down.
"We are being told the anti-missile defence system is targeted against something that does not exist. Doesn't it seem funny to you?" he asked.
Top Iranian security official Ali Larijani described the planned deployment as the "joke of the year", adding that Iran's missiles were not capable of reaching Europe.
Mr Putin said Washington had "altered the strategic balance" by unilaterally pulling out of the anti-ballistic missile (ABM) treaty in 2002.
He hoped US officials would change their minds about the missile plan, and said that if an arms race resulted it would not be Russia's fault.
Last week, Moscow announced it had tested a ballistic missile to maintain "strategic balance" in the world.