In this study, Krill Eupausia superba oil was extracted using different solvents and supercritical carbon dioxide (SC-$CO_2$). During SC-$CO_2$ extraction, the pressure was set at 40 MPa and temperatures ranged from $40^{circ}C$ to $55^{circ}C$. We examined the differences in volatile compounds and safety profiles among extraction methods. Volatile compounds were determined using the thermal desorption system integrated with gas chromatography-mass spectrometry (GC-MS). Heavy metal content was analyzed by inductively coupled plasma mass spectrometry (ICP-MS). According to our results 10 volatile compounds were identified in krill sample. After SC-$CO_2$ extraction of oil, the concentrations of volatile compounds decreased, but increased after solvent extraction. In krill, heavy metal concentrations remained within the permissible limit. Moreover, Zn and Fe which have health benefits were detected at high concentrations. During a 90 days storage period at different temperatures, microbial activity was found to be lowest in SC-$CO_2$ extracted residues. Thus, the quality of krill oil and the residues obtained using SC-$CO_2$ extraction was higher and the oil was safer than those obtained using conventional solvent extraction. These results can be applied to the food industry to maintain high quality krill products.