The group are seen dancing in a hall for the clip, which is labeled as an "Instructional Video" on their official YouTube page.
'Let's Have A Kiki' has already been an online hit after Anne Hathaway admitted she was a fan of "Kiki's" on Late Show with David Letterman earlier this year.
The track is the third lifted from their latest LP Magic Hour, which entered at number four on the UK album chart in May this year.
The band recently performed at BT's River of Music show in support of this year's Olympic Games.
Watch the 'Let's Have A Kiki' video below: