New Zealand authorities cannot be responsible for what people do once they leave the country, Prime Minister Bill English says.

English was responding to the case of a former New Zealand student who Saudi Arabian authorities say planned a terror attack in that country.

"We want to make sure that New Zealanders are safe - that's our first responsibility. We can't always be responsible for what people do after they leave New Zealand," English, who is taking his first overseas trip as Prime Minister, told reporters in Brussels.

"I can't comment on the particular case, but I'm advised the right checks are in place and we can feel confident that students coming in are being scrutinised."

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Taie bin Salem bin Yaslam al-Saya'ari was gunned down by police in Saudi Arabia on Sunday.

Authorities say he planned an attack last year at one of Islam's holiest sites, manufacturing a bomb used in the July 4 suicide attack outside a mosque where the Prophet Muhammad is buried, killing four Saudi security force members.

After shooting Al-Saya'ari over the weekend police found two explosive belts, two machine guns, a home-made grenade and basins filled with chemicals.

Al-Saya'ari arrived in New Zealand in July 2008 and held a series of student visas before leaving in November 2013.

Prime Minister Bill English speaks to the media at Auckland Airport before flying to Europe. New Zealand Herald by Nick Reed
Prime Minister Bill English speaks to the media at Auckland Airport before flying to Europe. New Zealand Herald by Nick Reed

This week strategic analyst Paul Buchanan said security vetting of international students was urgently required.

Buchanan told Newstalk ZB there's no security vetting of students who come to schools or universities here from Saudi Arabia, or other hotbeds of extremism such as Pakistan. Some might be dangerous and hone their skills in our universities, particularly in the hard sciences, he said.

Asked if the Government was confident it was aware of all Islamic State militants with links to New Zealand, English said he couldn't say for sure.

"It is clearly a focus for security. We beefed up investment in technology and people around the border so we can keep a closer eye on it."