New South Wales police have not yet released the identity of the man who was shot dead by an officer during a confrontation involving a knife at a Sydney police station.

Key points: Man walked into Quakers Hill police station at 10:40am

Man walked into Quakers Hill police station at 10:40am ABC understands he was holding a knife

ABC understands he was holding a knife Man shot in chest by police sergeant with 24 years' experience

Man shot in chest by police sergeant with 24 years' experience Motive yet to be established

The ABC understands the man was holding a knife when he walked into Quakers Hill police station, in Sydney's west, about 10:40am on Tuesday.

He was shot once in the upper body during the confrontation that followed and died soon after.

Police confirmed the man is believed to be aged in his 40s, but have not released other details about his identity.

The police station remains closed.

"Local residents will be able to attend a mobile command bus, which is parked outside the station on Lalor Road, Quakers Hill, for non-urgent inquiries," a police statement said.

A sergeant of 24 years' experience shot the man dead in the foyer of the police station. ( AAP: Paul Miller )

Assistant Commissioner Clifford said a critical incident investigation had been launched following the incident.

"There was a confrontation in the foyer of the station with a sergeant of 24 years' experience," he said.

"There was a shot fired by the sergeant that struck the man.

"I can say that a large knife has been located at the scene and obviously that will be part of the investigation and the crime scene unit are on the scene now to try and piece together what occurred."

Assistant Commissioner Clifford said police had "no idea" what the man's motive was going in to the police station.

"There is no indication that this is terrorist-related but why the man came there and why the confrontation occurred, at this stage we just don't know," he said.

Police have confirmed a man has been shot dead after a confrontation with officers at Quakers Hill Police Station. ( ABC News: Stephanie Dalzell )

No police officers were injured in the incident.

"The officer who fired the shot is very distressed as you can understand," Assistant Commissioner Clifford said.

A report will be prepared for the coroner.

Bus routes 752 and T72 were diverted away from Pearce Road and Lalor Roads, close to the scene of the incident.

Nearby resident Fiona Deregt said she and her sons had stayed locked in their house due to safety considerations since they heard about the shooting.

"All the helicopters started circling and we were shocked and came out to see what was heard, and were told to go back inside and stay inside," Ms Deregt said.

"It's scary, I was really scared.

"I only just found out that it didn't end very well, so it was scary knowing that but at the end of the day they're doing their job as well so you know you're safe, so that's not a bad thing."

Two childcare centres across the road from the police station were placed into lockdown in response to the shooting. ( ABC News )

Blacktown Council said in a statement two childcare centres had been placed into lockdown in response to the incident.

The Kerry Jones Childcare Centre and the Quakers Hill Pre School are across Lalor Road from Quakers Hill Police Station.

Acting Mayor of Blacktown Jacqueline Donaldson said both centres immediately implemented standard and well-rehearsed lockdown procedures.

"All children and staff are safe - the incident occurred across the street and is entirely unrelated to either childcare centres," Cr Donaldson said.

"I commend the staff at both centres for their professionalism and preparedness.

"You certainly don't want parents arriving outside the childcare centre if bullets are flying around and of course we didn't know what the situation was.

"So keeping parents away, keeping the children safe is our highest priority and our staff did that magnificently."

