French comedian Dieudonne has been arrested for being an "apologist for terrorism" after writing a Facebook comment suggesting he sympathised with one of the Paris gunmen, a judicial source says.

Prosecutors had opened the case against him on Monday after he posted "Tonight, as far as I'm concerned, I feel like Charlie Coulibaly" - mixing the popular slogan "Je Suis Charlie" used in homage to the journalists killed at magazine Charlie Hebdo, with a reference to gunman Amedy Coulibaly.

Coulibaly killed four Jews at a Jewish supermarket on Friday and a policewoman the day before.

The comedian made international headlines in 2013 when French footballer Nicolas Anelka was banned for five matches by English football authorities for using a hand-gesture created by Dieudonne that many people consider anti-Semitic.

Dieudonne made his controversial Facebook post after attending Sunday's unity march against extremism that brought more than 1.5 million people onto the streets of Paris after the attacks.

He described the march - considered the biggest rally in modern French history - as "a magical moment comparable to the big-bang".

The government has in the past banned Dieudonne's shows because it considers them "anti-Semitic".

In response to the interior minister's comment, the comedian said the government was trying to "ruin my life" when "I am only trying to make people laugh".

He has removed the offending remark from his Facebook page.