He showed photographs of a group of people conducting a shooting exercise with the president's picture as a target.
'We have the video and photographs (of the training). I received this information recently. This is not a rumour,' he said.
He said intelligence also suggested attempts were under way to sabotage his apparent election victory and his new term's inauguration in October.
The president urged people to refrain from linking the hotel attacks with political rivalry in the elections.
'All theories and speculations must be proven legally. We are a nation based on the rule of law and democracy,' he said.
Yudhoyono, a former general, ran against former president Megawati Sukarnoputri and Vice President Jusuf Kalla in the three-way presidential race.