15/06/2016 8:35 AM AEST | Updated 15/07/2016 12:54 PM AEST

Sheik Farrokh Sekaleshfar Wasn't On 'Watch List', PM Asks Why

The Islamic cleric left the country on Tuesday.

Prime Minister Malcolm Turnbull said the Federal Government is seeking answers on how radical sheik Farrokh Sekaleshfar was not on a 'watch list'.

The British Islamic preacher left Sydney on Tuesday after previous comments he made, supporting the death penalty for homosexuals in certain cases, arose after the Orlando massacre.

Turnbull ordered a review into Sekaleshfar's visa earlier on Tuesday, but the Islamic cleric left voluntarily on Tuesday night.

Speaking to Alan Jones -- during his new weekly interview on 2GB Radio -- on Wednesday morning Turnbull confirmed the Islamic cleric's visa had been revoked and the Federal Government would examine how he entered the country.

"There are 37 million passenger movements and naturally most of them from countries like the UK and the United States come in through the electronic visa processing service system, so unless he was on a watch list -- and we'll obviously examine why he wasn't -- but unless he is on a watch list people would come through in that way," Mr Turnbull told Jones on the program.

"The moment this man's presence and what he had said was drawn to our attention, [Immigration Minister Peter Dutton] and I spoke about it, the Minister acted decisively and his visa was revoked about 7pm last night.

"If they come here and preach hatred, we find out about it."

Sekaleshfar's comments were made three years ago at the University of Michigan, where he said homosexuals who had sex in public in a country abiding by Islamic law should face the death penalty.

After his past comments were brought into the spotlight, the Islamic preacher told Lateline he would respect any decision by the Australian Government.

"If the Government were to make that decision and the people want that, then I respect it, but I don't see any reason for fear even though I do understand why people may panic," Sekaleshfar said.

Distancing himself from the Orlando massacre shooter, Omar Mateen, he said: "I just want to give that assurance that it's not a theme, my themes don't revolve around this area".