The conversation with Ms Rousseff was one of many he managed to squeeze in during his first day at the G20 Summit in Brisbane.
"I said I wanted to thank her for the actions taken in relation to a New Zealander that was in her country. And that we'd be following up on that through legal channels."
He said Mrs Rousseff did not say much in response or discuss the possibility of extradition, beyond acknowledging it and saying they were working through the issues.
Mr Key is at the G20 as an invited guest and is very much the minnow.
However, he has got some attention - the head of the B20 (the Business 20 grouping associated with the G20) Richard Goyder cited New Zealand as a good example for other countries to follow in economic and labour market reforms to create a good environment for business investment.
"I give New Zealand an example. It lowered trade barriers, made fiscal reform and increased immigration."
Mr Key said he was there to look and listen rather than give advice. However, he had been asked to speak during a working dinner for the leaders about trade last night. He said he would tell them of New Zealand's experience of opening up to trade over the past 40 years.
He also spoke to British Prime Minister David Cameron about the British project to build an Ebola centre in Sierra Leone to which New Zealand is expected to contribute health workers. That centre will be run by Australia and Foreign Minister Murray McCully told the Herald last week that New Zealand was likely to send up to 10 doctors and nurses, who volunteered over to work in it in short rotations.
Mr Key said it would ensure the New Zealand workers had access to medical treatment and evacuation if they fell ill themselves.
He also secured an invitation from the Crown Prince of Saudi Arabia to visit.
Mr Key is pushing for progress in a Persian Gulf states free trade agreement and hopes to visit early next year. "We are really close with the Gulf states deal and there are a number of issues there."
Mr Key said there was optimism in the room, but also awareness of the impact security issues such as ISIS could have on economies.
By Claire Trevett of the New Zealand Herald
