I hadn't really considered this, so I'll have to look into it more thoroughly. Here's some reading about pensions including a form for claiming relief from double taxation so I guess somewhere along the line, someone will be looking for some tax from your pension.
Social Security Arrangement between UK and NZ . This covers all aspects of social security benefits etc. inc. state pension.
Information for those who receive a social security pension from outside NZ .
Forms for claiming relief from double taxation on pensions etc.
Another form for tax relief
Overseas private pensions .
Forms and Guides from the NZ side of things.
I haven't sorted through all these yet to know what's what.