"We are providing the best advice we can to the New Zealand Olympic Committee who have to make that decision by September 24 whether to travel to Delhi or not. I understand there has been extensive work looking through the Commonwealth Games Village... and other security areas.
"One always takes these things seriously but we are also very hopeful that the Commonwealth Games will proceed, that New Zealand will go and do very well," the New Zealand Herald quoted Key as saying.
New Zealand Olympic Committee officials are seeking more information about the shooting outside the Jama Masjid in Delhi Sunday that left two Taiwanese tourists injured.
Ko Chang and Ku Ze Wei were shot in the head and stomach respectively when gunmen opened random fire at a bus from which tourists were alighting near the 16th century mosque Sunday morning.
Some 7,000 athletes and officials from 71 countries and territories expected to attend the Games.
Meanwhile, a top official of the New Zealand team, Dave Currie, was on a visit to Delhi doing final checks on security. He, however, did not commit to New Zealand attending the Games.
"We're working on the premise the Games are going to go ahead," Currie told Radio New Zealand.
New Zealand Athletes' Federation chief Rob Nichol said Monday the latest attack was not surprising.
"It's important to remain reasonably calm and continue to have a bit of faith in the process. It's definitely concerning, but it's not something that should necessarily result in a 180 degree shift," he said.
"We always plan and ask questions around the worst-case scenario, because the reality is Delhi and India are at high risk of terrorist attack and there is a Commonwealth Games being staged there.
"If the athletes are going to go and if the Games are going to go ahead then you have to have security measures in place," he said.