"I don't think we need to have an inquiry," Mr Key told TVNZ's Breakfast.
"New Zealand has acted fully and professionally, and in line with the ISAF [International Security Assistance Force] and Nato [North Atlantic Treaty Organisation] requirements. I think there was one incident where a person was detained, and they went through the proper process."
During their deployment, SAS troops conducted operations against insurgent networks, predominantly improvised explosive device and suicide bomber networks, and provided counter-terrorism help to the Afghan police's crisis response unit.
Mr Key said he did not know whether Afghanistan was now safer than before the New Zealand troops arrived but the mission had still been successful.
"Kabul is quite a dangerous place, as we know, and the Taleban have been undertaking much more high profile attacks there," Mr Key said.
"But there's no question that the Crisis Response Unit, two and a half years on, is a much stronger unit than it was before we got there."