His daughter Stephanie who lives and studies in Paris was at a shopping mall until she received an alert from Mr Key's wife, Bronagh, to get home quickly.
Mr Key was still intending to attending the COP21 climate change summit in Paris next month.
"It's a huge international conference and I think they'll want to demonstration is returning to as much normality as much as it possibly can so at this stage it is still intention to go."
Economic Development Minister Steven is also on the trip to Vietnam with an education and aviation-focused trade delegation.
Air New Zealand announced last week it will begin three flights a week to Ho Chi Minh City from June next year.
Former Prime Minister Jim Bolger is part of the delegation as Chancellor of Waikato University as are representatives from AUT, Massey and Victoria University.
Prime Minister Dung visited New Zealand in March where he and Mr Key committed to doubling the two-way $1 billion trade by 2020.
- Audrey Young in Hanoi