Mali's president has warned jihadist commander Mokhtar Belmokhtar was a "threat" to regional security after it emerged the international fugitive is still alive and hiding out in Libya.

The elusive Islamist, who staged the deadly siege of an Algerian gas plant last year, was thought to have been killed in Mali, but security sources told AFP on Sunday they had proof he moved into Libya and remained active.  

"If this were true, it is obvious that he would be a threat. I believe that he is a pretty well-known figure and not for good reasons," President Ibrahim Boubacar Keita told a joint news conference with Senegal's counterpart Macky Sall in Dakar.

Belmokhtar was a leader of al-Qaeda in the Islamic Maghreb (AQIM), which, along with other armed Islamist groups, took advantage of a military coup in 2012 to occupy northern Mali before being driven out by French and African troops.

He split from AQIM last year and launched the Signatories in Blood, masterminding a raid of Algeria's In Amenas gas plant in which 38 hostages were killed in a four-day siege.

The attack was said to have been carried out in retaliation for the French-led military intervention in Mali.

Branded 'The Uncatchable', the one-eyed Islamist - who cut his teeth fighting the Soviets in Afghanistan in the 1980s - is also believed to be behind twin car bombings in Niger in May 2013 that left at least 20 people dead.

The United States designated Belmokhtar's group as a terrorist organisation in December, and the State Department is offering a $5 million reward for information leading to the Algerian's capture.

Belmokhtar was involved in fighting against Chadian forces in Mali's northeastern Ifoghas mountains and was reported to have been killed in action in March last year.

The reports, however, were never confirmed and the commander of the US Africa Command, General David Rodriguez, told journalists in January that Belmokhtar was "in the middle of the Sahel", exploiting the porous borders between southwest Libya and northeast Mali.

"If this individual ... whose disappearance was announced and which no one regretted, showed up somewhere, it would not be for peace unfortunately," President Keita said, towards the end of a two-day tour of Senegal.

"You never wish the death of a man but he is not very desirable company."