Video footage filmed by Mohamed Merah, who killed seven people in south-west France, has been received by al-Jazeera in Paris, police sources say.
A computer memory stick containing a montage of clips along with readings from the Koran was sent to the TV channel before being passed to police.
Merah, 23, was killed in a shoot-out with police last week.
His brother, Abdelkader Merah, has been charged with complicity in the murders, but denies the accusations.
The spate of shootings, which included the killing of three young children, shocked France.
The package sent to al-Jazeera was reportedly dated 21 March, the day police surrounded Merah's apartment, according to Le Parisien daily newspaper.
"Investigators are trying to find out whether the letter was posted Tuesday night by Mohamed Merah himself or by an accomplice Wednesday morning," Reuters quotes the newspaper as saying.
Mohamed Merah, a French citizen of Algeria descent, died in a shoot-out with police following a 32-hour siege of his apartment in Toulouse.
During the stand-off, he admitted shooting dead three soldiers in two separate incidents, and, last Monday, killing three children and a teacher at a Jewish school in the city.
He also boasted of filming the incidents.
Meanwhile, Merah's father told the Agence France-Presse news agency his son would be buried in Algeria, his ancestral homeland.
Mohamed Benalel Merah also said he would take legal action against French authorities for his son's death, saying they could have chosen to capture him alive.
Merah's older brother, Abdelkader Merah, 29, is being detained on suspicion of complicity in murder and theft, and involvement in terrorism.
Abdelkader Merah denies the accusations but says he was there when his brother stole a scooter used in the attacks. He also denies being proud of his brother.
Mohamed Merah had described himself as an al-Qaeda member, and told police he had bought weapons for 20,000 euros (£16,700; $24,400) using money taken through break-ins and hold-ups.
On Monday, President Nicolas Sarkozy - who faces elections next month - said he would ban militant Islamist preachers from entering the country.
"Are there other Merahs? All the security, intelligence and police services in democratic countries are on the lookout," Mr Sarkozy told France Info radio.----
In: Regional News
Tags: merah, france, killer, toulouse, footage, al-jazeera, muslims, islam, west, on the lookout
Location: France (load item map)
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