Al-Qaeda has threatened France with more terror attacks after 17 people were killed at Charlie Hebdo's offices and at a Jewish supermarket.

The warning came as French President Francois Hollande admitted the threats "weren't over" and police hunting a female suspect suggested there could be a larger terrorist cell planning further atrocities.

Mr Hollande has called for the French public to be united during this difficult time.

A sharia official from al-Qaeda in the Arabian Peninsula (AQAP), Harith al Nadhari, said in a video: "It is better for you to stop your aggression against the Muslims, so perhaps you will live safely."

"If you refuse but to wage war, then wait for the glad tiding."

AQAP has claimed it directed brothers Said and Cherif Kouachi in the attack on Charlie Hebdo "as revenge for the honour" of the Prophet Mohammed.

The United States has also warned Americans to beware "terrorist actions and violence" all over the world following the deaths in Paris.

US President Barack Obama says the United States stands with France.

The gunman killed by police at a kosher supermarket in Paris has told how he "coordinated" with the Charlie Hebdo killers and was a member of the Islamic State (IS) group.

Amedy Coulibaly's call to France's BFMTV station emerged after gunfire and explosions marked the violent conclusion to two hostage-takings 48kms apart.

Just minutes separated the series of blasts at the Paris store and those that rocked a warehouse in Dammartin-en-Goele, where the Kouachi brothers were holed up.

Police stormed both buildings almost simultaneously, killing both brothers, while at least four hostages and the jihadist gunman died at the Paris grocery store.

Coulibaly told BFMTV in the call from the supermarket that he had worked with the Kouachi brothers, who he described as his "officers".

"They (dealt with) Charlie Hebdo, I (dealt with) the police," he reportedly said.

Police became convinced the two attacks were linked after they discovered that Coulibaly's wife and fellow suspect Hayat Boumeddiene and the partner of one of the Kouachis had called each other more than 500 times last year.

They have subsequently established that Cherif Kouachi met Coulibaly in prison and the two men visited jihadist Djamel Beghal with their wives in 2010.

Coulibaly said he targeted the kosher supermarket because he wanted to defend Palestinians and target Jews.

In the taped conversation, he also acknowledged he had killed four of the hostages. Fifteen others were freed when police stormed the building.

Witnesses said Said Kouachi, the elder of the brothers, claimed allegiance to al Qaeda during the attack and travelled to Yemen in 2011.

His brother told BFMTV in a separate recording: "I was sent, me, Cherif Kouachi, by Al Qaeda of Yemen. I went over there and it was Anwar al Awlaki who financed me."

However, Coulibaly claimed to be a member of IS.

Boumeddiene (26), who was identified along with Coulibaly as a suspect in the killing of a police officer on Thursday, remains on the run.

French Prime Minister Manuel Valls said the heavy death toll over three days of violence showed there had been a "clear failing" of intelligence.

"When 17 people die, it means there were cracks," he said.

Automatic gunfire and explosions could be heard as police moved in to end the siege at the print shop in Dammartin-en-Goele, before smoke was seen billowing from the roof.

A helicopter then landed amid thick fog on the building's roof, signalling the end of the assault.

Officials said the brothers had emerged from the building and opened fire on police before they were killed.

A 26-year-old graphic designer called Lilian is understood to have hidden "under a sink in the canteen" and helped police by texting tactical information while the brothers held the store manager - who was released before the siege was ended - hostage.

Minutes later, police brought the stand-off at the supermarket in eastern Paris to a close.

Police were reportedly aided in the raid because they were able to listen in to the situation in the store after Coulibaly failed to hang up after calling the media.

It was as he knelt to do his evening prayer that they stormed the building.

The four people killed were "likely" killed by the gunman at the start of the hostage-taking, the prosecutor leading the investigation said.

A man called Ilan and his three-year-old son hid for five hours with three other people in one of the supermarket's fridge units, relatives told AFP.

In chaotic scenes visible in TV footage, armed officers fired automatic weapons before one body was dragged out and several hostages fled.