Sports people are usually knighted once they have retired, although there are exceptions, such as Sir Russell Coutts and Sir Richard Hadlee.
Sir Brian, who was knighted in 1999, said it was up to the individual.
"It would be quite awkward for [McCaw to be knighted] if he was still playing," he said.
"I don't think I would have felt comfortable, I probably still don't feel comfortable."
Sir Brian said McCaw would likely see the accolade as recognition of the team, not just himself.
There are also suggestions World Cup-winning All Black coach Graham Henry should also be knighted.
"I guess he is definitely in line," Sir Brian said.
"It depends on who is making the judgement calls.
"He's done a hell of a good job for New Zealand and we're all very proud of the team."