The attackers apparently targeted the U.S. emblem on the embassy building, but the rocket shell smashed through a window on the third floor and damaged toilets. No one was injured.
The Revolutionary Struggle group also claimed responsibility earlier for three powerful explosions near ministry buildings in the Greek capital, and for an unsuccessful assassination attempt on a former public order minister in June 2006.
Police are inspecting nearby buildings, and the adjacent streets have been cordoned off. Anti-terrorism squads at the scene said the shot was most likely made from a grenade launcher.
The Greek minister of public order, Vyron Plydoras, is also at the site, consulting security officers.
American diplomats said the embassy, which has been a frequent target for protestors, would be closed for the rest of the day.
The latest rally near the embassy occurred last November, when marchers came to mark the anniversary of the end of the military dictatorship that ruled Greece in 1967-1974, and to protest against Washington's support for it as well as the U.S. invasion of Iraq.