A 26-year-old serial killer who lived with his mother has confessed to the murders of 39 people in Brazil including a 14-year-old girl.

Security guard Thiago Henrique Gomes da Rocha is believed to be one of the world's most prolific serial killers after he confessed to dozens of murders on Tuesday while under arrest for a minor offence.

Police said Gomes da Rocha told told them he killed to alleviated feelings of anxiety because of the "fury he felt against everything".

He gunned down his victims while riding on a motorbike and would shout "robbery" before each killing.

Thiago Henrique Gomes da Rocha confessed to 39 murders in Brazil, police claim. (AFP) (AFP)

Among his victims were 16 women including a 14-year-old girl killed in a park in January, while others reportedly include transvestites and several homeless people.

Brazilian police set up a taskforce to find a serial killer after a string of random killings caused fear and panic among locals.

Gomes da Rocha first came to the attention of police after he was caught stealing a motorbike number plate at a supermarket in January.

Officers swooped days later when he was stopped riding a motorbike with a stolen number plate.

Gomes da Rocha allegedly shot his victims while riding on a motorbike after yelling 'robbery'. (Department of Public Safety Brazil)

A raid on his home reportedly turned up a .38 revolver as well as a motorbike with stolen plates.

Once in custody, Gomes da Roacha admitted to the string of murders, police say.

"I believe he is a serial killer. To start with he killed at random but towards the end he established a pattern," Police chief Joao Gorski said.

Three of Gomes da Rocha's alleged victims. (supplied)

Victims of Gomes da Rocha earlier this year staged a protest to pressure police into catching the killer. They wore white and carried photos of the victims.

The world's worst serial killer is believed to be Luis Garavito, who may have killed and raped as many as 400 street children in Colombia.

His confirmed victim count is 138.