Sisters Michelle and Danielle Wood tried to display the banner on Friday after Assange was arrested at Ecuador's embassy in London for skipping bail.

The United States also wants to extradite him on a charge of "computer intrusion".

"We unfolded the banner on the steps and within a minute the security arrived," Danielle Wood told AAP in Sydney.

"They said 'No you have to go, this is the Opera House precinct, you're not allowed to be here, we don't want any political statements'."

The sisters hoped a photo at the famous landmark would spread rapidly on social media.

"We wanted to show Julian Assange that Sydney is behind him," Danielle Wood said.

A Sydney Opera House spokesperson confirmed a small group of protesters were told by security to remove the banner.

The spokesperson said the Opera House's by-laws prohibit activities "of this nature".

Dozens of supporters also gathered outside the UK consulate in Sydney's CBD chanting "Bring Julian home" and "UK must resist" and "Don't shoot the messenger".

They then marched to Martin Place where they were joined by other protesters.

Danielle's sister Michelle was watching a live video feed of the embassy in London when Assange was arrested on Thursday evening Australian time.

"It was devastating. I saw the police storm the embassy and then the footage went dead. I was so worried," Michelle Wood told AAP.

She wants Prime Minister Scott Morrison to ensure the Wikileaks founder is safe given Assange is an Australian.

The standard consular assistance being provided wasn't enough, Michelle Wood said.

"Commit to making the deal with the UK that they either keep Julian safely in the UK (with) no extradition to the US or bring him home.

"The US shouldn't be allowed to assert that power on UK soil. If they get Julian and they get journalism we won't know what comes next because who will report it?"

British officers dragged Assange from the embassy after Ecuador withdrew the asylum it had afforded him for almost seven years.

Australian Associated Press