A student who allegedly threatened a Sydney police station on his Facebook page has been arrested on his way to the same school attended by the teenager who shot dead a police accountant last week.

Police said they spoke to the teenage boy on his way to Arthur Phillip High School in Parramatta this morning in relation to alleged posts on social media.

Sorry, this video has expired Student arrested on way to school attended by Parramatta gunman ( David Spicer )

They said the student then threatened and intimidated police and he was arrested.

It comes after Farhad Jabar Khalil Mohammad shot and killed 17-year police force veteran and accountant Curtis Cheng at close range outside the NSW Police headquarters in Parramatta on Friday.

The Year 10 student was killed by police in front of the building after he shot dead Mr Cheng.

There was a heavy police presence at the school this morning which is just metres from the scene of last week's fatal shooting.

On Saturday, the teenager arrested this morning allegedly posted a video on Facebook of Police Commissioner Andrew Scipione addressing the public about the shooting with the caption "merryland [sic] police station is next hope they all burn in hell".

The student arrested this morning had his belongings emptied on the footpath.

He was handcuffed and taken in a police van to Parramatta Police Station.

At the time, the student told the ABC that police had taken offence to him videoing them on his mobile phone.

The ABC saw a senior police inspector looking at the content of the boy's mobile phone.

Students at Arthur Phillip High School returned for the first time today since the fatal shooting last week.

The NSW Department of Education is offering counselling services to students and teachers this morning.

A number of students expressed their shock at the shooting incident, describing Farhad as quiet, polite and "a nice kid".

Students who knew Farhad said he enjoyed playing basketball at the school.

Premier Mike Baird has vowed to track down anyone who helped or encouraged teenage gunman Farhad to carry out the attack.

The student was handcuffed and taken away in a police van. ( ABC News: David Spicer )

"I find it incredible to think that a 15-year-old boy could undertake this action without any form of help or assistance or encouragement," he said.

"And I can assure you that if he was ... those people who have undertaken any inciting or any encouragement to undertake such a horrendous crime, we will track them down and they will face the full consequences."

But Mr Baird would not say whether police had made progress trying to find the teenager's sister, who is understood to have travelled to Turkey and may be trying to reach Iraq or Syria.

The Premier said he has visited the family of Mr Cheng and said he wanted to do everything possible to stop similar attacks.

"I've had an opportunity on the weekend to spend time with the Cheng family and you can imagine the grief that they are going through," Mr Baird said.

"They lost a wonderful man, a father, a husband for no reason.. who was completely and utterly innocent."

Students at Arthur Phillip High School attended for the first time since the fatal shooting last week.

Parents must take stronger action to deter children at risk: police

Yesterday, NSW Deputy Police Commissioner Nick Kaldas said parents with children at risk of radicalisation must take a stronger role to deter them from violent influences.

He said families and the community, rather than police, were the key to stamping out terror-related violence.

Police said the 15-year-old gunman, Farhad Jabar, was politically motivated and had links to terrorism. ( Instagram )

Deputy Commissioner Kaldas said the reaction since the shooting showed the Muslim community abhorred such violence and some were fearful of retaliation.

Police said they believed the shooting was politically motivated and was linked to terrorism.

Deputy Commissioner Kaldas said police were already on high alert for the possibility of retaliatory attacks.

The shooting has sparked new conversation between the Federal Government and the Muslim community about how to best tackle radicalisation and extremism here in Australia.

Yesterday, prominent Muslim community leader Dr Jamal Rifi said Prime Minister Malcolm Turnbull's efforts to combat the problem are a "quantum leap" from the Government's previous approach.