The embattled leader says Libyan forces will target European "homes, offices, and families" in a series of attacks like "locusts and bees".
His message comes after France confirmed it had supplied weapons to anti-government rebels, delivering arms to Berber tribal fighters near the capital Tripoli.
Mr Gaddafi's threat was made during an audio message played to thousands of supporters gathered in Tripoli.
In the a speech to mark 100 days of the NATO military campaign, he also urged supporters to retrieve the weapons that France supplied to rebels battling his regime.
"The Libyan people are capable, one day, of taking the battle to Europe and the Mediterranean" region, Mr Gaddafi said in the message, as thousands of supporters massed in Green Square in the centre of the capital.
"They could attack your homes, your offices, your families [who] could become legitimate military targets because you have transformed our offices, headquarters, homes and children into military targets which you say are legitimate.
"If we decide to do so, we are capable of throwing ourselves on Europe like swarms of locusts or bees.
"So we advise you to back-track before you face a catastrophe."
The ever-flamboyant leader was speaking from a secret location, but his voice boomed across Tripoli's the landmark square, where the authorities were hoping to gather 1 million regime supporters.
The crowds, waving green flags and carrying portraits of Mr Gaddafi, chanted slogans of allegiance to "God, Gaddafi and Libya," while some fired guns into the air in celebration as the night sky was lit by fireworks.
"March on ... and seize the weapons that the French have supplied. If later you want to pardon them [the rebels], that's up to you," Mr Gaddafi said.
