Three detectives with a search warrant yesterday met Mr Jennings, Campbell Live producer Carol Hirschfeld and Campbell.
After the 15-minute meeting, Campbell spent another 15 minutes making a statement to the detectives.
The officers left with a videotape of the staged interview.
Mr Jennings said no cameras had been at the original interview.
It was recorded on a dictaphone tape, which was transcribed and destroyed.
He said there was "no intention to stage or try to mislead anyone".
"We were just trying to protect our source."
Mr Jennings also said TV3 had initially feared the alleged thief may not have been who he claimed to be.
But it had used "a way of checking that made us 99 per cent certain" he was, Mr Jennings said.
He would not divulge what that check entailed.
- NZPA