The bomb threat was reported from the Gare de l'Est station, one of Paris' busiest stations, and the police said the station was closed as a "precaution".
The arrests come as US Secretary of State John Kerry is in Paris on Thursday.
The 12 people were arrested on the suspicion of helping Coulibaly, who also killed a policewoman in southern Paris last Thursday and stormed into the kosher shop the next day where he killed four people before being shot dead.
Days after the attack, a video of Coulibaly pledging support to the Islamic State in Iraq and the Levant (ISIL) emerged, INternational Business Times reported.