Prime Minister John Key has up to three bodyguards with him when he buys milk and butter at his local dairy, says the bloke behind the counter.

When he goes for fish'n'chips at Catch a Fish, he'll usually have a couple of security personnel and if he's having a coffee at his local, Rosehip in Parnell, up to five minders could be with him.

Key's personal security came under scrutiny this week after Labour MP Pete Hodgson revealed the Diplomatic Protection Squad budget had blown out by $800,000.

Police minister Judith Collins responded that, in the past two weeks, a person had been charged with threats against the Prime Minister's life.

White Heron Dairy shift manager Sam Singh said Key visited the dairy with two or three DPS members at a time to buy "basic cooking stuff".

Singh had also seen Key at the nearby Rosehip cafe drinking coffee with five or six bodyguards around him.

"He always comes with them," he said. "If he's walking he might come with five or six. There's always one or two cars with him if he's in his car."

Key would not comment yesterday about any aspect of the DPS or the threats on his life.

When asked whether he feared for his life, or whether wife Bronagh and his children feared for his life, he said: "Look, I've just got no comment to make."

He would not say if he had discussed the death threats with his family.

C4 Group chief executive Chris Lawton, a former police officer and bodyguard, said the number of men around Key indicated a risk to Key's safety.

"Normally there wouldn't be that many staff round him. The higher the risk, the closer the staff get to VIPs."

Lawton said it was better to be safe than sorry. "If you take it lightly and get it wrong it's a serious mistake."

Labour leader Phil Goff said if he was prime minister he wouldn't have protection in Parliament or on private holiday - and he'd rather not have it while walking to the shops.

"It's a case of sensible judgment when you're in the precincts of Parliament and on holiday. It's not necessary."

Goff said he had seen the DPS bodyguards working in the corridors of Parliament and in Parliament's gym - an unprecedented development.

Parliament was safe, Goff said. It had security and metal detectors at the doors. There was no reason for the squad to be inside the building."It's a question of how far you go with protection."