At least one person has been charged with threats against Prime Minister John Key in the last two weeks, Police Minister Judith Collins says.

The revelation comes as Mr Key has defended his use of the Diplomatic Protection Squad.

John Key said it is a matter of public record that people have been arrested and sent to jail for threatening to kill him.

"If I walk to the dairy, someone comes with me," he told Radio Sport's Tony Veitch. "Do people seriously think at 3 o'clock on a Saturday afternoon if I want to walk down and buy the newspaper or a litre of milk, that I really want to have a diplomatic protection agent? The answer's obviously no."

Ms Collins confirmed there had been at least one person charged for threats against the Prime Minister in recent weeks, although would not go into details about whether the threat occurred in New Zealand or overseas.

"The fact is from time to time the police do have to deal with specific threats against, obviously, the Prime Minister, but other visiting dignitaries and other MPs, ministers and the Governor-General," she told Radio New Zealand this morning.

"The police don't even tell the prime minister of these threats. They have, on occasion, advised me of these matters and normally after they've been dealt with."

Mr Key said he does not direct where or when the police protect him, as they make their own decisions. He said no-one wants to live their life in what is effectively a prison, but he has no choice.

The comments come following criticism after the budget for Diplomatic Protection Squad has blown out by $800,000.

Figures released under the Official Information Act show the DPS budget for the last financial year was $3.98 million but it spent $4.8 million, and $30,000 of that was used to send officers with Mr Key on his summer holiday to Hawaii.

Labour has accused Mr Key of using his security officers more than he needs to.

"Protection for the prime minister is a good thing, a reasonable thing, but it needs to be used reasonably and I'm afraid the current prime minister seems to use it mainly for visual effects," Labour MP Pete Hodgson said.

"When Helen Clark went overseas for a private holiday she never took protection and I'm pretty sure Jenny Shipley didn't - I think John Key enjoys having an entourage."