Premier Denis Napthine says it is crucial Victorians do not jump to single out a particular religious faith for Tuesday night's events in Endeavour Hills where an 18-year-old terror suspect was shot dead after attacking police.

He warned against racism, saying he was proud that Victoria was a "free and democratic society".

And Victoria Police chief commissioner Ken Lay says he does not believe the death has anything to do with a chilling Islamic State call-to-arms in recent days encouraging supporters to launch terror attacks in their home countries.

He also said no threat had been made in relation to this weekend's AFL grand final, but he said security has been heightened and undercover officers will be at the game.

At a press conference on Wednesday, Dr Napthine said his thoughts were with the officers injured in Tuesday night's "tragic" event, and the family of the deceased teenager, Numan Haider.

He said it was vital no group was singled out in the aftermath of the death, and called on people to preserve Victoria's multicultural and diverse community.

"It is not about faith, it's not about ethnicity, it is about the alleged behaviour of an individual," the premier said.

He said Victoria was a safe community and people should have "confidence" attending major spring events.

But he urged people to be alert and report any suspicious behaviour.

Mr Lay said there was an abundance of speculation about the events leading up to Tuesday night's attack and subsequent shooting by police.

"Some of it's right, some of it's wrong," he said.

Mr Lay said that Mr Haider had come into contact with Victoria Police three months ago.

"What we saw did cause us some concern," he said.

He said there was an escalation late last week and police interest was "greatly heightened".

"I think the fact that the joint counter-terror task force was doing some work around him indicated our level of concern," he said.

Police are not aware the deceased was suffering any mental illnesses.

Mr Lay said the teenager had come to the police station with "one thing on his mind".

"At this stage we have a very sad story and a number of issues we are working through."

Mr Lay said there was "no doubt" tensions in the Muslim community would be raised.

"There's no doubt about that," he said.

"It's absolutely critical that we give the faith community here in Victoria support, give them information, that we allow them to share their insights with us. It's what kept Victoria safe for many, many years."

He said police had already reached out to community leaders and he would be attending a multi-faith meeting this afternoon.

Mr Lay said he wrote to all members of Victoria Police on Wednesday morning "urging them to exercise extreme caution, to be vigilant, to stay safe."

"We need to be prepared for anything," he said.

"This has been a confronting reminder to all police members about the stark realities and dangers that can present themselves."

He said he understood the events of last night and last week in Sydney would make many Victorians feel "deeply unsettled".

Dr Napthine said he would be guided by Mr Lay about whether laws needed to be changed to ban the displaying of certain flags.

He said it was crucial Victorians remembered not to make harsh judgments "based on the basis of faith or ethnicity".

"We are a diverse, harmonious and multicultural community and it's time for this community to actually work together to make our community safer and stronger, not divide the community," he said.

The Premier said he would meet with faith leaders soon to discuss ways of addressing issues around disengagement.

But he reiterated the incident was not about faith, but the alleged behaviour of an individual.

Mr Lay said while there had been no specific threat to major events in Victoria, including the Grand Final and Royal Melbourne Show, the "environment is changing".

"We need to be alert, we need to be aware and we need to take all possible precautions."

He said police would have a high presence at major events to reassure the community.

"It is important to remember that extremist behaviour has nothing to do with faith. It relates to people who would do our community harm," he said.

"Many people with tickets in their hands will feel a new sense of anxiety. This is only natural, but again I reiterate the strong measures we've put in place to ensure security," he said.