Police executed a search warrant at Parramatta Mosque on Saturday night as part of their investigations into the fatal shooting on Friday of a civilian police employee by a 15-year-old gunman.

The chairman of the Parramatta Mosque, Neil El-Kadomi, told Fairfax Media police were searching for the boy's belongings and arrived about 7.30pm on Saturday. But Mr El-Kadomi said they walked away empty-handed half an hour later.

High school student Farhad Khalil Mohammad Jabar was shot dead by officers after he walked up behind police accountant Curtis Cheng, 58, and shot him at close range outside the force's Parramatta headquarters.

The Iranian-born Farhad, who attended Arthur Phillip High School just 300 metres away from where the attack took place, visited the nearby Parramatta Mosque on Friday afternoon before carrying out the attack.

Mr El-Kadomi said he did not know the boy, which suggested he was not a regular at the mosque.

"I don't see him in the mosque very often," he said.

Friday's tragedy had nothing to do with the mosque, Mr El-Kadomi said.

"He died and his secret died with him. I don't know if it's terrorism. What the boy's motive is we don't know," he said.

"We are Australian and we live in Australia. The mosque has no link to the crime. The community is very shocked by what happened."

He said they had not had any speakers at the mosque that afternoon.

NSW Police said in a statement on Saturday night that it executed a warrant at a mosque in Parramatta.

This was done "by arrangement with leadership at the mosque, who provided full assistance to police at all times".

'A normal kid'

One man, who did not want to give his name, but lived in the same apartment block as Farhad, described him as a "normal" kid.

He wore jeans and T-shirts and said hello when he passed him.

"He was very cordial," the neighbour said.

The shooting prompted "more questions than anything".

"How does a kid, 15-year-old, get a gun?"

Chilling footage emerged on Saturday night capturing the moments the teenager entered into a gunfight with officers before he was killed.

Police Commissioner Andrew Scipione said police believe the teen gunman's actions were "politically motivated and therefore linked to terrorism".

Mosque searched

Earlier on Saturday, NSW Police detectives were seen entering the Parramatta Mosque on Marsden Street.

They spent less than 10 minutes inside just before midday and would not comment on whether the search was related to the shooting.

The mosque is an open prayer hall and worshippers are free to come and go as they please, said Mr El-Kadomi. He said up to 500 worshippers a day come to the mosque.

Prime Minister Malcolm Turnbull said on Saturday the Muslim community should not be blamed or vilified for Farhad's actions.

"The Australian Muslim community will be especially appalled and shocked by this. As [NSW Police] Commissioner Andrew Scipione and the Premier [Mike Baird] have noted, we must not vilify or blame the entire Muslim community with the actions of what is, in truth, a very, very small percentage of violent extremist individuals."

Mr Turnbull has spoken to Duncan Lewis, the director-general of security at the Australian Security Intelligence Organisation (ASIO) and Andrew Colvin, Commissioner of the Australian Federal Police about Friday's shooting.

Police were on Saturday night trying to make contact with Farhad's sister. The ABC reported she flew out of Australia on a Singapore Airlines flight bound for Istanbul on Thursday and may have been attempting to reach Iraq or Syria.

She had taken all of her belongings with her.

Police said they had not yet uncovered any messages, religious writings or notes left by Farhad.