The Korean Consulate is urging the police and Immigration New Zealand to investigate claims that Korean sex workers were being held against their will in a central Auckland apartment.

A man, who had visited a sex worker as a client, claimed a note was allegedly written by the prostitute and secretly handed to him seeking help.

The note, written in Korean ethnic script on a yellow post-it sheet, translated as: "Help me! I want to go back to Korea."

But police said after interviewing the man that there was insufficient evidence to commence an investigation and felt confident the situation disclosed "may not be wholly accurate".

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"We have urged both New Zealand Police and Immigration to carry out immediate and thorough investigations for this matter. We have been working closely with them," said Korean consul Kyoung Ho Kim.

"The consulate has been taking this matter very seriously as it may involve the safety and wellbeing of our Korean nationals."

He alleged the woman told him that she and four others, also from Korea, were 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 this week.

Immigration assistant general manager Peter Devoy said it needed names of the individuals who are allegedly being held captive before the agency could proceed any further.

"INZ does not condone any illegal workers in any industry but it does need full names of any individuals working in the industry and suspected of being on a temporary visa so that it can check their immigration status and take appropriate action," Mr Devoy said in an email response.

"If you can supply the full details in this case we can act on the information."

The agency regularly received information regarding people working unlawfully in the sex industry from a variety of sources including the police and the wider community, Mr Devoy said.

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Yesterday, the recipient of the prostitute's note was interviewed by police for a second time.

He alleged police warned him against speaking to the media and threatened that he could face charges if he continued talking with the Herald.

The Herald understands the police also met Korean consulate officials yesterday in a separate meeting over the matter.

Auckland City Police said it would continue to work with Immigration to ascertain the validity of the information supplied by the man.

"At this stage there is still insufficient evidence to launch a criminal investigation in this matter but we are working with Immigration officials in an effort to understand if there has been breaches of immigration visas as well as the Prostitution Reform Act," a police spokeswoman said.

Under the Prostitution Reform Act 2003, only New Zealand citizens and residents can work in the sex industry.

"This work is on-going and no further information is available at this stage," she added.