"I believe there is a place in the market for a party that represents a lot of people that are not happy with what's happening at the moment," King said.
"None of the parties in the current political landscape provide a credible alternative to the status quo.
He said he had travelled to Wellington because he strongly opposed the vaccine mandates.
"They are undemocratic. After overwhelming feedback and support, I have begun discussions with an experienced group of people regarding a political party that represents our fundamental rights as Kiwis. After one term in Parliament, I feel I have unfinished business."
King was the MP for Northland between 2017, when he won the seat from NZ First leader Winston Peters, and 2020 when Labour's Willow Jean Prime won it in Labour's landslide.
National leader Christopher Luxon has distanced himself from King, saying he did not agree with King's views.
While he was at the protest, King had said he was disappointed with Luxon's refusal to engage with the protesters.
All the leaders of political parties at Parliament have refused to visit the protest, although Act leader David Seymour had a private meeting with some of those involved.
King has called for the protest to be peaceful and offered to be involved in negotiations that could resolve the standoff between police and protesters.
"I said to them if I could be involved in a negotiated result that was peaceful and everyone that walked away from it was okay with the result, I would come down in a heartbeat."
Prime Minister Jacinda Ardern has refused to engage, saying it was clear the protesters wanted all of the restrictions that had protected New Zealand from the worst of Covid-19 to be dropped, and that the start of the major Omicron outbreak was not the right time to do that.
