He indicated that coach Steve Hansen was also likely to be offered a knighthood when he retires from coaching.
Labour Party leader Andrew Little concurred with both suggestions.
Mr Key was speaking soon after leaving the All Blacks' dressing room at Twickenham and before catching a flight home from the Rugby World Cup final in London.
Asked what he had said to McCaw after the game, Mr Key said: ''I just said, 'Job done'.''
He said McCaw should savour the moment because he was truly one of the game's all time greats.
''His leadership and his belief in that team and his individual ability were such a huge part, basically, of delivering the dream of back to back World Cup victories,'' Mr Key said.
In 2011, before that year's Rugby World Cup final, Mr Key spoke publicly about offering a knighthood to the retiring coach, who later became Sir Graham Henry.
McCaw was offered one, but in the almost certain knowledge he would turn it down while he was still playing.
Yesterday, Mr Key - when asked if it could be assumed McCaw would now be offered one again - said: ''That's right.''
But the timing of it would depend on when he retired from playing.
''If he really does hang up his boots, I don't think he is philosophically opposed to taking the knighthood. ''He says he shouldn't do that while he is a playing player.''
Mr Key was sure Hansen would be offered a higher honour by whichever party was in Government when the time came.
''They are New Zealand heroes and rightfully so they'll be honoured if that's what they want.''
Mr Little attended the final as well and agreed a knighthood would be an appropriate honour for McCaw - ''I think that would be an appropriate gesture to make.''
