The mayor of Rotterdam says police in the port city stopped a van with Spanish license plates containing a number of gas bottles close to the venue of a concert by an American rock band that was cancelled following a threat, CNBC has reported.

Mayor Ahmed Aboutaleb said at a hastily arranged press conference that the van's driver had been detained and was being questioned on Wednesday night.

Aboutaleb says the concert by Los Angeles band Allah-Las was called off after Dutch police received a terror warning from Spanish police.

He declined to give further details on the nature of the warning or where in Spain it came from.

Police in Spain have been investigating the deadly vehicle attacks last week that killed 15 people.