EU member states have done "a lot of work in this area. But that doesn't mean that there isn't a real job to be done at the EU level," King told a press conference in The Hague.
"There is work to be done to close down the space in which terrorists can be active," the continent's security czar said, including through introducing new legislation and tackling radicalisation.
King, a former British ambassador to France, was confirmed last month as the new European Union security commissioner, tasked with improving information and intelligence sharing in the face of deadly terror attacks.
It was King's second visit to the European security organisations based in The Hague, after an earlier visit in September to the European police agency Europol.
His appointment comes as European governments grapple with how to tackle terror threats after a series of attacks in cities such as Paris and Brussels.
Last week, King hailed the Belgian city of Mechelen during a visit as a model for tackling radicalisation as he backed similar "grass-roots" activities elsewhere.
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