About 140 army, navy and air force personnel are involved in New Zealand's provincial reconstruction team (PRT) operating in Bamyan province. The team has been there since 2003.
The SAS has been deployed there three times, the last in 2006.
The United States has repeatedly asked for an increased military presence.
The Government this year began a review into New Zealand's commitment, when it announced it would roll over its army presence in Afghanistan until September 2010.
Mr Key said the review would be reported back to Cabinet next month.
"In my view it's a very delicate decision that needs to be made here," he told Breakfast on TV One this morning.
"On one hand I don't want to put New Zealand troops in the form of the SAS in harm's way, on the other side of the coin, as we saw in Jakarta on Friday, New Zealanders are right around the world whether it's Mumbai, Jakarta or Madrid, and we have a role to play."
He said it was no secret New Zealand wanted to exit Afghanistan.
The United States, Australia and United Kingdom had put more resources in despite increasing losses.
"(There is pressure to) up our commitment to stabilise Afghanistan so we can all get out -- that's something we are considering."
Mr Key made the same argument in April when he said the government would consider sending further troops if "a surge" hastened overall withdrawal.
