Munira Subasic, the head of the Mothers of Srebrenica group, made the claim after a planned deportation from the United States of at least 150 Bosnians suspected of having taken part in ethnic cleansing in the 1990s.
Ms Subasic's group turned over names of suspected war criminals to US prosecutors, the New York Times reported.
She said suspects were not just in the United States.
"There are some especially in Canada, Australia, New Zealand, Russia and European countries." She said she had alerted authorities in some of the countries.
The New Zealand police said they had not been alerted. Immigration New Zealand said it had not received any information either, but a spokesman said: "We would actively follow up on any information received and take any action appropriate in the circumstances."
Asked about the issue at his post-Cabinet press conference, Mr Key said he was not aware of any information to support the claim in reference to New Zealand.
Refugee Council spokesman Gary Poole said it was highly unlikely any Bosnian war criminals were living in this country. "The Refugee Council would be sceptical that what she [Ms Subasic] is saying is in fact true, but at the same time we have to have an open mind."
Any evidence Ms Subasic had, including names and identities, should be immediately forwarded to the Government, he said.
Tough screening processes as well as the type of Bosnian refugees who settled in New Zealand during the 90s meant it was "highly unlikely" war criminals were accepted into this country.
Between 400 and 500 Bosnians settled in New Zealand from 1993 to 1995, and about 600 arrived from 1997 and 1998, he said.
The majority of these people were women and children classed as "high protection cases", Mr Poole said.
"It is highly unlikely that there would be any war criminals among the women and children."
In addition to rigorous checks made by Immigration New Zealand, refugees also passed a screening process by the UN, Mr Poole said.
US immigration officials have uncovered evidence that as many as 150 of the Bosnian suspects took part in the 1995 Srebrenica massacre in which about 8000 Muslim boys and men were killed.
More than 100,000 people were killed in the 1992-95 Bosnian war, which followed the break-up of the former Yugoslavia.
The Bosnian War
•International armed conflict that took place in Bosnia and Herzegovina between 1992 and 1995.
•Came about as a result of the break up of the Socialist Federal Republic of Yugoslavia.
•Crisis emerged in Yugoslavia as a result of the weakening of the Communist system at the end of the Cold War.
•During the war there was an ethnic cleansing campaign and 25-30,000 Bosnian civilians were expelled from Srebrenica area.
•In one massacre in Srebrenica 8000 Muslim men and boys were killed.
- additional reporting AFP
