According to an ABC staff member, the man was waiting in a coffee shop next to the ABC foyer for Ms Gillard to arrive.

The egg missed, instead hitting a female WA police officer who was part of Ms Gillard's security detail, before smashing across the wall.

Police said the man, 55, from North Beach, was a small business owner. He was arrested and taken to Curtin House to be interviewed by WA police and possibly Australian Federal Police officers.

Ms Gillard made light of the incident at a press conference later this morning.

"(Foreign Minister) Stephen Smith, who's always quick-witted, has said to me that perhaps a West Australian thought I needed to have some scrambled eggs this morning for breakfast," she joked.

"That might have been one of the motivations. But yes, there was an egg thrown, it did hit a female West Australian police officer on the back of her jacket.

"I've obviously spoken to her, so we are all fit, hale and hearty and fine."

She said nothing was said at the time as to why the egg was thrown and she would leave it to the appropriate authorities as to whether charges should be laid.

The Prime Minister had apologised to the officer over the assault on her uniform.

"I did apologise to her because I don't think someone was throwing an egg at her but she ended up copping the egg."

Ms Gillard said she did not know what the protest was about or why the protester was angry.

"If people have got something to say to me, what I would obviously prefer is, I'm always up for a frank conversation."

Earlier, on the way into the Hyatt Regency Hotel to address a breakfast meeting, Mr Gillard was shouted at by two protesters angry over her new asylum seeker policy.

"There's no solution to deal with refugees Julia," one man shouted, as a woman called out,

"Free the refugees".