Marine Rescue volunteers from Shellharbour say they were shocked to turn up to work Sunday morning to find a large shark's head impaled on their fence.

There was no message with the large shark head so Marine Rescue spokesman Richard O'Conner said it was difficult to determine if it was meant as a threat, or just a joke in very poor taste.

"It's a random thing, there was no message and we haven't had any issues in the past with disgruntled fishermen or boaters, but that's not to say that somebody may not be happy with what we have done," he said.

He said it looked as if the shark, believed to be a mako shark, was cut up at the jetty across the road from the Marine Rescue building on Saturday night.

Blood found on jetty nearby

"We looked around the area and found there was blood down on the jetty located 100 metres from us, which tends to indicate the shark was caught on Saturday night and maybe cut up down on the jetty," he said.

Marine Rescue Shellharbour is made up of 33 volunteers dedicated to saving lives when people get into trouble at sea so it was the last thing they expected to see.

"We are a volunteer organisation. We work very hard for what we have and we do provide a service that is crucial to the boating public," Mr O'Conner said.

The posting of the photo on the group's Facebook site has angered some residents.

"Absolute grubs," Kath Gerrard posted.

"Hope you find these scumbags," Glenn Sharpe wrote.

Marine Rescue was searching for the culprits but said, at this stage, have not referred it to police.

The ABC understands the NSW Department of Primary Industries is looking into the incident.