Local milkman Alan had stopped to buy biltong from a market store outside Westfield Hornsby on Thursday afternoon when he heard a police officer yelling "drop the knife, drop the knife".

Alan, who had just finished delivering milk to some cafes, was metres away as mentally ill man Jerry Sourian, 23, started walking towards a female officer with a carving knife.

As the officer shot at Mr Sourian three times, three women standing around Alan suddenly dropped to the ground.

He raced over to one woman, Lorraine Pendleton, helped her onto a chair and tried to stem the flow of blood from her leg.

Incredibly, Alan, who asked for his surname to be withheld, only realised once he got home that he too had been hit in the lower leg by a small piece of shrapnel.

"I felt something at the time but it wasn't until the end of the shooting that I looked down and saw a fair bit of blood coming out," he said.

On Friday, the three female bystanders hit in the extraordinary altercation all underwent surgery and were in good spirits according to their families.

Mrs Pendleton, 82, was hit in the back of the knee while trying to run away from Mr Sourian. Elaine For, 65, suffered a gunshot wound to the lower leg and recently retired grandmother Anne-Marie Petitfils, 60, was hit in the calf and had two rounds of surgery.

"Mums in good hands but still needs prayers, back in [operation] for a second time," Ms Petitfils' daughter posted online on Friday.

Mr Sourian's devastated family told Fairfax Media they wanted to make sure the injured women were OK.

They questioned why police drew their guns instead of Tasers, knowing that Mr Sourian had absconded from Hornsby Hospital's mental health unit the day before.

His family also disputed reports in other media that Mr Sourian was heard yelling "Allahu Akbar" and rambling in Arabic before the shooting, saying he was a devout Catholic who couldn't speak a word of Arabic.

Assistant Commissioner Denis Clifford said a critical incident investigation will look at why police didn't use their Tasers.

He described it as a "life and death situation" and said there were "only a matter of metres" between the man and the officers who had only a "matter of seconds" to act in the "confined area of the shopping mall".

Alan, who spent most of Friday speaking with police, said he believed the female officer had no other choice as Mr Sourian "zoned in" on her.

"She had a Taser but there was no way she could have used it, this guy was zoned in on her, he just had eyes for her and was going for her," he said.

"I honestly thought there was only one police officer because he was just going for her."

He said bullets flew all over the Westfield forecourt in the "surreal, unbelievable" incident.

Fairfax Media understands the male and female police officer who shot at Mr Sourian knew him personally because they frequently drop patients off at Hornsby Hospital's mental health unit, where Mr Sourian had been an involuntary patient.

He had absconded twice in the past week and was granted day release despite expressing homicidal tendencies towards police.