Depends on a few things, some of which require you to predict the future. i.e. what is the AUD and NZD going to do in the future, what are the two markets going to do?
If you are indexing keep in mind ETF fees are MUCH cheaper on the ASX than the NZX, also there is a wider range available on the ASX.
Other considerations are tax wise. I am unsure of NZ tax law and things like imputation credits and how they are treated for someone living and working in Australia. It might help if you share what country you are currently a citizen of if someone more knowledgeable comes along from a tax perspective.
Having a home country (in your case retirement destination) bias avoids some of the risks associated with currency loss.
Liquidating your portfolio in the future might incur a large capital gains event if you need to sell up and move cash to NZ.
How certain are you that you will retire in NZ? I would want to be 110% sure as lots can happen in the future.
https://www.ofx.com/ is a cheaper way to send money than bank transfer in my experience.
