The agent went to the office of Maurice Williamson who is the Minister in charge of the Overseas Investment Office.
"Williamson's office said there's nothing you can do. It is going through the process. They went back to the person the next day and said there's nothing we can do."
Mr Dotcom has said he would provide proof that Mr Key was lying when he appealed his extradition next March.
Mr Key said he would never be able to prove that.
"I didn't know about it and I didn't deal with it.
"I've never lied about Kim Dotcom and I don't lie about anything."
Mr Key made his comments to reporters in Phnom Penh last after being questioned again about why he would not confirm the issue of Dotcom issue had been raised in his discussion yesterday with US President Barack Obama.
"I'm not going to go into the details of the private conversations I had with the President because I wouldn't go into those I had with the Queen either or various other leaders," he said.
"It is important that I have the capability to be able to have a discussion with the President of the United States of America and that he knows that could be confidential."
Asked if his refusal to confirm it was discussed added to Mr Dotcom's conspiracy theories, Mr Key said he utterly rejected those theories.
"In the fullness of time I am very confident when the case is fully laid out that my position will be affirmed."
His conspiracy theory that New Zealand was a puppet for the Americans is all wrong.
"It' pretty simple. If he is so confident in his position he should go off to the United States, fight his case, come back to New Zealand start up again."