Norway's intelligence agency said Thursday it had launched a probe to determine whether a Norwegian of Somali origin was involved in last month's bloody attack on Nairobi's Westgate shopping mall.

"Based on information that a Norwegian citizen may have been involved in the attack on a shopping mall in Kenya three weeks ago, PST has decided to open an enquiry," the intelligence agency PST said in a statement.

The agency said it had obtained information about the possible involvement of a Norwegian of Somali origin in both planning and carrying out the attack.

"The enquiry will primarily be aimed at helping prevent new terrorist acts and (determining) if and to what degree the Norwegian ... was involved in the attack," the PST said.

It will also try to determine the man's alleged ties to Somalia's Al-Qaeda-linked Shebab insurgents, who claimed responsibility for the attack.

PST does not know the whereabouts of the suspect, nor his condition nor whether he is even alive, a senior PST official, Jan Glent, told Norwegian television.

Two Norwegian investigators have been sent to Nairobi to work with their Kenyan counterparts, the PST said.

The Westgate attack began on September 21 and lasted for several days, leaving at least 67 people dead and some 39 still missing.

During the attack, Kenyan officials said that between 10 and 15 gunmen were involved.

But they later said that between four and six men conducted the siege.

Their identities have not been disclosed, though some reports have suggested some were British or American. There has until now been no mention of a Norwegian.

According to the PST, the threat level against Norway remains unchanged "but the situation could change rapidly."

The agency has expressed concern about the rising number of people who have left Norway to take part in conflicts or training camps abroad, or to join "terrorist networks" abroad.