"Government agencies will never call you to ask for your bank account or credit card details by phone," police said.
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"They have used technology to enable them to use the Embassy's number to make these calls, so if you receive a call and the person on the line asks for money, do not engage with them, and hang up."
If someone thinks they have been scammed, police urge them to report the incident as soon as possible to their nearest police station.
They also advise members of the public to warn friends and family so that others in the community are also aware – particularly the more vulnerable members of the community.
In New South Wales, Australia, at least 50 people have reported they were scammed.
The scammer usually demands money and threatens harm to the victim, as well as their friends and family, if the demands are not met.
The call usually starts with a recorded message in English or Mandarin, and then transfers to a person claiming to be from the Chinese Embassy or Consulate.
NSW Police has issued a public warning about the calls.
"I want to stress that the Chinese Embassy would never contact a victim to pay money over the phone," Financial Crimes Squad Commander, Detective Superintendent Linda Howlett said.
As well as New Zealand, the same scam has also been reported in the US, Canada and the UK.