They’re not sure yet what it was:

An explosion ripped through the U.S. embassy compound in central Athens on Friday but no one was hurt, a U.S. embassy spokesman said.
Greek anti-terrorist officers were on the scene and investigating. It was not clear what caused the blast.
“There are no injuries from the blast. The investigation of the cause is continuing,” the U.S. embassy spokesman said.
“We are investigating the cause of the explosion. We are not ruling anything out,” a senior police official told Reuter.
[…]
Police officials at the scene said that whatever caused the explosion damaged the official embassy sign outside the mission, but there was little other indication of the extent of damage inside.
The tightly guarded building is surrounded by a 3-meter (9-feet)-high steel fence. Guards are posted at every entrance and at street corners around it.
[…]
Local residents called in to state television saying they had felt the explosion, which shattered some windows.