A small bomb shattered the window of a book store on Fifth Avenue early yesterday and an anonymous caller told the Associated Press that a militant Jewish organization claimed responsibility.

Shortly before 2 a.m., a man who identified himself as a member of the "Thunder of Zion" faction of the Jewish Defense League, called the wire service to report the incident at the Four Continent Book Store.

The caller said the store, which he decribed as a "Soviet book store," had just been bombed and he demanded the release of Soviet dissidents Anatoly Shcharansky and Maria Tiemkin and Jews in the Soviet Union.

"Within the next two weeks they had better be released or Russian blood will flow on New York streets," the caller said.

United Press International also reported receiving a call, saying the Soviets had "two weeks to have them released or Gromyko will die in New York." Andrei Gromyko, the foreign minister of the Soviet Union, reportedly will come to New York City in the next few weeks to speak at the United Nations.

Store owners were unavailable for comment.

A number of bombs have been found in the last few days in the neighborhood of the Soviet Mission to the United Nations. One, a gasoline bomb, exploded Friday under a car with diplomatic license plates parked near the mission.