On Thursday, the Swedish police authorized the demonstration near the Iranian Embassy in Stockholm on August 18.
"We cannot ever guarantee anything... If you see that something deviates from the norm, if you cannot assess it on your own then you have to go to the police. We really appreciate your advice," Thornberg told a Swedish radio broadcaster.
Swedish Foreign Minister Tobias Billstrom told a Swedish newspaper also on Friday that the country's interests abroad had been under threat over the past months due to Quran-burning protests.
On Thursday, the Swedish Security Service raised the terrorist threat level in the country from elevated (3) to high (4) on a five-level scale.
Several Quran-burning demonstrations have taken place in Sweden, as well as Denmark, in recent months. Most Muslim countries have condemned the demonstrations, and some have summoned the Swedish and Danish ambassadors to give them notes of protest. Last month, hundreds of Iraqi protesters stormed the Swedish embassy after the burning of the Quran in Stockholm.
In late July, the Swedish Security Service said the Quran-burning demonstrations had a negative impact on domestic security. Swedish Prime Minister Ulf Kristersson also said that Sweden was facing its most serious security situation since World War II.