The comments come after a previously secret report by former Prime Minister and Cabinet department secretary Phil Gaetjens on the sports rorts scandal was released last week.
The report criticised the lack of transparency behind the scheme and found there were serious shortcomings in Senator McKenzie awarding a community sports grants to a gun club where she was a member.
The awarding of the grant led to Senator McKenzie resigning as sports minister in early 2020.
Despite the findings of the full report, which was released publicly under freedom of information laws, Senator McKenzie said she stood by the scheme.
"I have absolutely no regrets about my decisions at the time, I acted within my remit as minister," she told Sky News on Sunday.
"It'd be nice for ministerial standard breaches to be dealt with consistently, I think, going forward."
The Gaetjens report found Senator McKenzie breached ministerial standards by not declaring she was a member of the Wangaratta Clay Target Club, which received a grant of $36,000.
She insists her membership did not affect the decision making behind the grant, but she stood down due to the perceived conflict of interest.
"Mr Gaetjens made clear there was a perceived breach of ministerial standards with respect to a gifted membership that wasn't declared in a timely manner," she said.
"In the interest of my own personal integrity, when you are faced with a question about whether you as a minister have breached ministerial standards, the only appropriate action then is to resign, which I did.
"Accountability and transparency is incredibly important in democracy such as ours."
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