"A 22-year-old foreign national has been arrested over suspected links to terrorist activity," a coastguard spokeswoman told AFP.
"She is being held on the island of Corfu."
Authorities declined to identify the suspect's nationality but state agency ANA said she was a Belgian apparently of Moroccan origin.
It was not immediately clear when the warrant was issued or whether it was linked to any particular incident.
"We do not know which case this is linked to," the spokeswoman said.
She was arrested late yesterday on Corfu after Italian authorities alerted their Greek counterparts, the agency said.