May's comments came as British police made multiple arrests Thursday in connection with the attack.
A 30-year-old man has been arrested in Birmingham by officers investigating the Westminster terror attack.
The group, who said they were wearing blue as a symbol of hope, stood holding hands for five minutes on the Westminster Bridge as the Big Ben struck 4 p.m. on Sunday, The Telegraph reported.
Born as Adrian Russell Ajao in Dartford before converting to Islam, Masood was known to United Kingdom police and intelligences services.
Although police believe he acted alone on the day, investigators are still trying to find out whether he was encouraged or directed by others.
The family of an American man killed last week in the London attack has offered tribute to his generosity and say they are grateful for the help and support so many have shown during a frightful time. Masood was reportedly on WhatsApp moments before he began plowing down pedestrians on Westminster Bridge, and he stayed in Brighton the night before the attack, where a hotel manager described him to Sky News as a "nice guest" who was "laughing and joking".
Officers have arrested a total of 12 people following a huge investigation into Wednesday's attack.
The three other people were killed when a vehicle allegedly driven by Masood ran them over on Westminster Bridge near Parliament.
Police said Masood, 52, who had previous criminal convictions but none for terrorism, had used a number of aliases.
The man was arrested on Sunday at an address in Birmingham on suspicion of the preparation of terrorist acts.
Neighbors told the British press he was a keen gardener who lived with his wife and young child until December 2016, when the family suddenly moved out.
But he said he was changed by a fight in his local village pub in Sussex, southern England, after which Masood was jailed in 2000 for slashing a man's face.
The others killed included teacher Aysha Frade and U.S. tourist Curt Cohrane and police officer Keith Palmer. "There might well be people out there who did have concerns about Masood but weren't sure or didn't feel comfortable for whatever reason in passing information to us".
"One time he said to my daughter "Mariam speaks about you all the time, you will have to come round to play".
"There should be no place for terrorists to hide", Rudd said in a separate interview with the BBC.
Social media giants are also coming under pressure over extremist content being posted on their sites. "We need to make sure that our intelligence services have the ability to get into situations like encrypted Whatsapp".