By Dion Nissenbaum and Colleen McCain Nelson 

WASHINGTON--Attorney General Eric Holder said on Sunday the U.S. and its allies are working to determine if al Qaeda in the Arabian Peninsula played a direct role in orchestrating last week's attacks in Paris before deciding whether to retaliate against the militants in the Middle East.

Speaking from Paris, where he was attending an emergency security conference, Mr. Holder said U.S. and Western intelligence officials have yet to establish a clear link between the attacks and the Yemen affiliate of al Qaeda.

"We'll certainly have to see exactly who was responsible, determine what kind of retaliation would be appropriate," Mr. Holder said on "This Week" on ABC. "Bringing people to justice who are responsible for these acts is certainly something that we would work together with our French counterparts."

In a series of interviews with the U.S. Sunday morning talk shows, Mr. Holder said the U.S. has all-but eliminated al Qaeda's ability to carry out spectacular attacks in the U.S., and that the fight against terrorism has shifted to a new phase of smaller attacks such as that last week in Paris.

"I think the decimation of core al Qaeda has probably reduced, if not eliminated, their ability to do the kinds of things they did on Sept. 11," 2001, Mr. Holder said on CBS. "On the other hand, al Qaeda affiliates like al Qaeda in the Arabian Peninsula have moved what they do to smaller kinds of attacks."

Mr. Holder spoke as upward of a million people flooded the streets of Paris for a mass antiterrorism rally. The series of attacks by three radicalized Frenchmen killed 17 people over three days. The perpetrators were killed in two separate police raids on Friday.

Before he was killed, one attacker, Cherif Kouachi, told a French television reporter that their attack on the country's Charlie Hebdo newspaper was backed by al Qaeda in Yemen and Anwar al-Awlaki, the American-born imam who was killed in a U.S. drone strike in 2011.

Some media organizations have reported claims of responsibility from AQAP. The group has broadcast a video with a top official praising the attack, but he didn't take credit or clarify the group's relationship with the French attackers.

Mike Morell, a former deputy director of the Central Intelligence Agency, said Sunday the claim AQAP somehow directed the attack should be taken seriously. "We don't know what direction means," he said on CBS. But "I do think al Qaeda was, in part, responsible for this."

Mr. Holder said the U.S. is still trying to determine what role al Qaeda played in the attacks.

In his interviews on Sunday, Mr. Holder said AQAP remains the most dangerous of the al Qaeda affiliates. He said there is no specific credible threat to the U.S. Rather, what he called the entire threat environment is as dangerous as anything since the Sept. 11, 2001 attacks.

"We are at war with those who would commit terrorist attacks and who would corrupt the Islamic faith in the way that they do to try to justify their terrorist actions," Mr. Holder said.

U.S. officials are continually evaluating emerging threats, tracking the movements of individuals who may be affiliated with terrorist groups, Mr. Holder said, but it is very difficult to keep track of every person who potentially could carry out an attack.

"That is the thing, I think, that keeps me up most at night--this concern about the lone wolf who goes undetected," Mr. Holder said on NBC.

Write to Dion Nissenbaum at dion.nissenbaum@wsj.com and Colleen McCain Nelson at colleen.nelson@wsj.com

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