After contacting the Herald, the client agreed to meet officers and Auckland City police confirmed he was interviewed on Tuesday night.
He alleged the woman told him that she and four others, also from Korea, were being held captive in the apartment and could not go anywhere without being escorted.
The Herald understands the man also said he was told that more sex workers are being brought in from Korea to work at the address.
A police spokeswoman said: "There is insufficient evidence to commence an investigation.
"However, both police and Immigration New Zealand accept that the information does raise issues of foreign nationals working in the sex industry which may result in breaches of both their immigration visas as well as the Prostitution Reform Act."
Under the Prostitution Reform Act 2003, only New Zealand citizens and residents can work in the sex industry.
In the past three years, 42 foreign nationals have been found illegally working in the sex industry by Immigration New Zealand.
Twenty-five came on visitors' visas, eight on student visas and seven on work visas. Two of the prostitutes were overstayers.
Employers found guilty of exploiting migrant staff, even if working illegally, can be fined up to $100,000 and jailed for up to seven years.