"We are working on these links. We are going into all details, and investigation has started (into the links of JeM with Nagrota terror attack after recovery of notes in Urdu)", Director General Of Police (DGP) K Rajendra Kumar told Press Trust of India.
"Let us first complete the probe then we will able to say anything on it," he added.
According to reports, a note, along with three AK-47 rifles, magazines and UBGL grenades, was recovered from the site of attack, points to the involvement of JeM's Afzal Guru Squad.
The note, written in Urdu with name bearing at the end of AGS of JeM, says that they have avenged the death of Afzal Guru.
The recovered explosives were being disposed of by controlled explosions.
JeM have named a squad after Afzal Guru to target security forces in India last year.
Afzal Guru's name also cropped up in Pathankot when Rajesh Verma, who was abducted along with Gurdaspur Superintendent of Police, told reporters that the terrorists had told him that they wanted to avenge the death of 2001 Parliament attack convict.
The DGP further said that security agencies were probing if the group came from International Border (IB) and was part of a group of three terrorists killed at the border in Ramgarh sector in Samba on Tuesday.
"We have visited Ramgarh in this direction," Mr Kumar said.
Jammu was hit by two terror attacks on Tuesday in which seven army personnel, including two Major-rank officers, were killed and eight other security-men, including a Border Security Force DIG, were injured before six heavily-armed terrorists were killed in separate encounters.