Marie Benedicte Bjørnland, the head of PST, said that the agency had become aware of Dhuhulow's growing militancy more than three years ago, and had tried to convince him to remain in the country.
"We had several talks with him ... before he left Norway more than three years ago," Bjørnland said at PST's headquarters in Oslo. "Obviously we didn't succeed, but there was quite an effort put into the preventive side of this."
The 23-year-old Somali's family moved to Norway in 1999 when he was ten years old.
According to his sister, Dhuhulow travelled to Somalia for a three month visit in 2009, before leaving for good in 2010. However, she claims that the man identified as Dhuhulow in CCTV footage from inside the mall is not her brother.
The Kenyan government on Sunday reported that police had found what appeared to be the remnants of the four terrorists security cameras showed were in the building.
Bjørnland said it was "most likely" that Dhuhulow died in the attack.
Bjørnland told AP that between 30 and 40 people had left Norway to take part in the Syrian civil war.
"We see a growing problem when it comes to people traveling to war zones, and specifically the last year we've seen a growing number of persons travelling to Syria," she said.
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"When they are radicalized and when they are determined to go, for instance to Syria or other conflict areas, we don't have many legal measures to stop them."
"We do preventive work. We talk to them. We try to persuade them not to go, because it's a dangerous journey," she added. "I wish we were more successful. We have succeeded in turning some around from traveling. But quite a few have actually left."