French bomb disposal experts carried out a controlled explosion on the package, which was discovered in the morning and was treated as suspicious because no sender's details were displayed, a spokesman at the Greek embassy said.
"We saw that it was suspicious because there was no sender identified," the spokesman said. "We called the police experts, who examined the package and carried out a controlled explosion. There were explosives inside the package."
He said the package appeared to have come from Italy and that it was the first such incident he knew of at the embassy.
The Greek foreign ministry also said the parcel had been sent from Italy, adding that no embassy staff had been harmed.
In the last few days, Italy has experienced a spate of mail scares, the most recent being envelopes containing bullets and threatening letters mailed to Justice Minister Paola Severino and Rome Mayor Gianni Alemanno.
Last week an Italian anarchist group claimed responsibility for two letter bombs sent to the chief of a state tax collection agency and a top banker in Germany.
The letter sent to Deutsche Bank chief executive Josef Ackermann was intercepted in Germany before it was opened. The other blew up in the hands of the tax collection agency chief, destroying part of a finger and injuring his eyes.
A year ago the same anarchist group claimed responsibility for two parcel bomb attacks against the Swiss and Chilean embassies in Italy just before Christmas 2010, which wounded two people, as well as a device that wounded two people in the offices of a Swiss nuclear lobby group in March.