COPENHAGEN - Denmark’s intelligence agency acknowledged Tuesday that the suspected gunman in the deadly Copenhagen shootings had been flagged up by prison authorities as being at risk of radicalisation.

But it said there was no evidence that the suspect, identified as a 22-year-old Danish-born man with a history of criminal violence, had been planning attacks.

The revelations surfaced as politicians called for an investigation into whether police and the intelligence services could have done more to prevent the killings that stunned the normally peaceful nation.

Police were out in the streets in Copenhagen on Tuesday, with a brief security alert over a suspicious letter found in the area of one of the weekend attacks.

Tens of thousands of people had turned out on Monday night for a torchlit vigil to commemorate the two people killed in the shootings at a cultural centre and Copenhagen’s main synagogue.

The attacks - coming just weeks after the shootings in Paris in January - stoked fears of a new surge in anti-Semitic violence and sent European nations scrambling to reassure their Jewish communities.

The Danish Security and Intelligence Service (PET) said the prison service had reported in September that the gunman was at “risk of radicalisation” while he was serving time in jail for assault.

PET said however it had “no reason to believe that the now deceased 22-year-old offender was planning attacks”.

The gunman, identified by his friends and the media as Omar El-Hussein, a Dane born of Palestinian parents, was shot dead by police in a pre-dawn shootout on Sunday after his rampage in the city of one million.

Local media say El-Hussein, who had a history of assault and weapons offences, was released from jail just two weeks before the attacks.

The country’s main opposition party Venstre called for a probe into the intelligence report.

“I assume the government will review this information. Have mistakes been made on the part of the police or PET? That has to be made clear,” Venstre’s spokesman on justice issues, Karsten Lauritzen, told the Berlingske newspaper.

Two men were on Monday charged with helping the assailant dispose of his weapon and giving him somewhere to hide, but the lawyer for one of suspects said they denied the allegations “completely”.

Berlingske quoted unnamed friends of the gunman as saying he was “a changed person” after he emerged from jail.

“He had grown a beard, and he no longer talked about cars and girls, but loudly about religion, the victims in Gaza and about ending up in paradise,” it quoted them as saying.

The attacks, the worst in Denmark since World War II, claimed the lives of a 37-year-old Jewish man who was guarding the synagogue and a 55-year-old film-maker attending a debate on Islam and press freedom at the cultural centre.

US President Barack Obama expressed his solidarity with Denmark in a phone call with Prime Minister Helle Thorning-Schmidt on Monday.

The two leaders “agreed on the need to work together to confront attacks on freedom of expression as well as against anti-Semitic violence,” the White House said in a statement.

The FBI is also helping Danish authorities probe the attacks, a senior US official said, without elaborating.

An estimated 30,000 people joined a sombre night-time vigil in Copenhagen on Monday attended the prime minister.

“Tonight I want to tell all Danish Jews: you are not alone. An attack on the Jews of Denmark is an attack on Denmark, on all of us,” she told the crowds.

The Nazi-hunting Simon Wiesenthal Centre said it feared a “pan-European epidemic” after the Paris and Copenhagen attacks. But European nations including France and Germany sought to assure Jews that they would be protected, rebuffing calls by Israeli Prime Minister Benjamin Netanyahu for them to emigrate to Israel.

In a sign of the security jitters in Copenhagen, police imposed a cordon around the cultural centre early Tuesday after the discovery of a “suspicious” letter carrying an undisclosed message linked to the attacks.

The cordon was lifted after demolition experts determined the letter contained no explosives, Danish police reported.

A man was also arrested in Mjoelnerparken, the same area El-Hussein was from, but police decline to comment on reports it was linked to the attacks. “It’s a very big investigation, very tough. There’s a lot of surveillance material and internet data to go through. It’s a huge and complicated investigation,” police spokesman Steen Hansen told AFP.