Plain-clothed and uniformed police have maintained a strong presence at the churches since the threat emerged earlier this week.
The four sites were on a list of more than 60 Coptic churches worldwide that were reportedly the target of the unnamed Islamic group.
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It follows an attack that killed 21 people in a New Year's Eve bomb blast at a Coptic church in the Egyptian city of Alexandria.
Mr Daley said it was "fair to say" that a website had been identified as the source of the threats.
He attended his local Coptic church in Bexley, Sydney's south, on Friday night to show solidarity with worshippers.
"The Coptic people of NSW need to know that we're right there behind you. Police will take care of you," he told reporters on Saturday.
"There's a very good police presence both at my own Coptic church and (in) Kensington," he added.
Police officers from the dog and bomb squads searched the four Sydney churches on Thursday night before the popular Christmas Eve services that can attract hundreds of people.
The churches reportedly on the terror list are Archangel and St Bishoy Church at Mt Druitt, St Mary and St Merkorious at Rhodes, St Demiana and St Athanasius at Punchbowl and St Mark Coptic Church at Arncliffe.
It was not known why these four were targeted as there are 17 Coptic parishes in Sydney.
The Coptic Orthodox church is the largest Christian church in Egypt and one of the strongest in the Middle East.
It has about 20 million followers worldwide with almost half of them living outside of Egypt.
