The PM later showed up at the University of Nairobi for a public lecture where he is also seen with the same outfit.
The Nairobi News could not independently authenticate if the PM wore the bullet proof vest to State House, a place that is presumed to be the most protected in Kenya.
Both State House and the Italian embassy were unavailable for comments.
Kenya has from time to time suffered terrorist attacks staged by Somalia-based Al Shabaab militants.