Asked how he would choose who came to New Zealand, he said: "You interview each one".
Mr Peters said he did not know the cost of vetting all migrants at the border, but there was a "massive cost" to New Zealand of not controlling immigration.
Economist Michael Reddell told Q+A that cutting migrant numbers would help to bring down the cost of housing.
An immediate reduction in immigration to between 10,000 and 15,000 people a year would lead to a drop in house prices in Auckland within two years, he predicted.
"That would take a huge burden off young New Zealanders, particular poor New Zealanders trying to get their first house."
Around half of migrants are believed to settle in Auckland.
The Government has ruled out stemming the flow of migrants, saying that a large proportion of arrivals are returning New Zealanders.
It also says high net migration is only one part of a rare "trifecta" of economic trends - along with low interest rates and high confidence in the economy - which are putting pressure on housing and infrastructure.