The New Zealand national terror threat level was raised from very low to low last month because of concerns about radicalised fighters returning to this country.
The last time it was raised to this level was during the Rugby World Cup in 2011.
Officials are reviewing current laws which affect foreign fighters and are expected to make recommendations on potential deficiencies.
Mr Key's comments came after Australia issued travel warnings for people heading to Turkey for WWI centenary commemorations next year.
In new travel advice issued yesterday, the Department of Foreign Affairs and Trade told Australians to exercise a "high degree of caution" in Turkey "because of the threat of terrorist attack".
New Zealand's Ministry of Foreign Affairs (MFAT) said it would not be issuing new advice to travellers in response to Australia's warnings.
A Ministry spokesman said travel advice for Turkey would be kept under close review in the lead-up to events at Gallipoli in April.
MFAT was advising against tourist and non-essential travel to parts of Turkey which bordered Syria, Iran and Iraq. It also said New Zealanders should exercise caution elsewhere in Turkey "due to the threat from terrorism and potential for civil unrest".
Foreign Minister Murray McCully said this morning he had not been briefed on the situation.
Around 1900 New Zealanders were expected to travel to Gallipoli in April to mark the 100th anniversary of the Anzac landings. Up to 8000 Australians will also make the trip.
Australia currently has a higher national terror threat level. Prime Minister Tony Abbott raised the threat level from medium to high in September.
Australia's foreign affairs department said the security environment in Turkey was volatile because of wars in neighbouring Syria and Iraq, where the militant group Islamic State is battling Kurdish forces.
"Turkey's long and porous border with Syria provides terrorist groups the opportunity to travel relatively easily between Iraq, Syria and Turkey.
"Spill-over from the Syrian conflict could lead to attacks against targets in Turkey, including Ankara, Istanbul or areas close to the Syrian border."
The travel advice also applied to the Gallipoli peninsula, the department said.
No direct threats had been made against Australians in Turkey or against commemoration events, but the stability of the region could change between now and April 2015.
On Friday, the department also told Australians to "maintain a high level of awareness" when travelling to Southeast Asia, South Asia, the Middle East and Africa.
It said Australia and Australians were viewed by the Islamic State as a legitimate target for terror attacks.
"Even in cases where attacks may not specifically target Australian interests, Australians could be harmed in indiscriminate attacks or attacks aimed at others."