In an interview with Sky News, Rudd said the self-probe by the intelligence agency is "the right first step" in learning the lessons from last week's concert bombing.
"There is a lot of information coming out at the moment about what happened, how this occurred, what people might or might not have known. And I think it is right that the MI5 takes a look to find out what the facts are," she said.
The secretary added that in the future "we can look if anything else might need to be done" in terms of investigating the security breach, but stressed that at the moment, the focus should be on wrapping up the operation triggered by the May 22 terrorist attack.
Earlier the BBC reported that the MI5 had been alerted about Salman Abedi's extremist views at least three times before he brought a home-made bomb to the exit of Manchester Arena last week.
It added that a separate report into the overlooked threat would be prepared for ministers and officials overseeing the work of MI5.
Comment: Gotta make sure all the elites are on the same page here no doubt.
Abedi, a British-born man of Libyan descent, was one of 20,000 people identified by the MI5 as a threat, but not one of the 3,000 people who are under active investigation, according to a Reuters source.
On Monday, British police reported arresting the 16th individual suspected of connections with the Manchester bombing. The 23-year-old man was arrested in Shoreham-by-Sea, Sussex, "on suspicion on offenses contrary to the terrorism act," Greater Manchester Police tweeted.
Two have been released without charge, while 14 men remain in custody for questioning, the police said.
On Sunday, the UK scaled down the terrorist threat in the country from "critical" to "severe."
The suicide bombing killed 22 people as young as eight and left 59 injured on May 22. The attack, for which Islamic State (IS formerly ISIS/ISIL) terrorist group has taken credit, is the deadliest in the UK since the coordinated bombings in London in 2005.
Comment: This is just a bunch of BS from Rudd. MI5 probably knew this attack would occur to reinforce the need for total surveillance of the population: 'Remember why you need us': Guardian launches fearmongering exclusive for MI5