A group of Muslims has reportedly protected Christians during a deadly terrorist attack on a bus in Kenya.

Somali Islamist fighters attacked a bus, killing two people on Monday, but according to reports, some Muslims on the bus refused to help the attackers identify Christians.

Abdi Mohamud Abdi told Reuters that more than 10 al Shabaab militants boarded the bus and ordered the Muslim passengers to split away from the Christians, but they refused.

"We even gave some non-Muslims our religious attire to wear in the bus so that they would not be identified easily. We stuck together tightly," he said.

"The militants threatened to shoot us but we still refused and protected our brothers and sisters. Finally they gave up and left but warned that they would be back."

Four people were wounded in the attack.

Al Shabaab is Al Qaeda's affiliate in Somalia and regularly storms buses. Last year they raided a bus and shot dead 28 people who failed to recite Quran verses.

The group has said they will continue to attack Kenya until Nairobi withdraws troops from an African Union force fighting the militants in Somalia. It has also said northeastern Kenya should be part of Somalia.