The HBO comedy series centred on New Zealand's two-man band Flight of the Conchords (McKenzie and Jemaine Clement) who try to make it in New York.
McKenzie and Clement play fictionalised versions of themselves in the show. Flight of the Conchords ended in 2009 after two seasons.
McKenzie told The Hollywood Reporter: "We're gonna try and do a movie. We just need a story."
He quipped: "I'm gonna go back to New Zealand tomorrow, maybe film it next week. And then edit it the week after. I don't know how familiar you are with movies, but there's a lot of behind the scenes stuff that could take one or two weeks. Probably in about a month we'll have a premiere."
Last year, Clement expressed interest in turning Flight of the Conchords into a big-screen musical.
McKenzie has joined the cast of Peter Jackson's The Hobbit, which is set for a December 2012 release.
Watch Flight of the Conchords perform 'Business Time' below: