The Australians are short-priced favourites to win their third World Cup in succession in the Caribbean and are unbeaten in the triangular One-day series against the Black Caps and England.
However, the Kiwis have gone close to beating the Australians in their last two encounters and Gilchrist said their impressive form was no fluke.
On Sunday, the Australians scored a WACA record 343-5, but a Jacob Oram century saw the Kiwis fall just eight runs short in the chase.
Gilchrist noted that the Black Caps nearly won despite resting pacemen Shane Bond, who boasts an amazing record against Australia, and James Franklin from the game.
"They are a very dangerous team at full strength," Gilchrist said on Monday.
"They weren't at full strength yesterday -- Bond was out and Franklin has been playing in their first picked team recently.
"They have got Oram back and that gives them a nice balance with bat and ball. They are a dangerous team, there is no doubt about it.
"They are a team we have to look out for in this competition and teams in the World Cup will have to watch them."
He expects the Black Caps to be Australia's opponents in the tri-series finals and said they had "great potential".
Gilchrist said one of New Zealand's strengths was their batting depth, particularly when they are chasing a target.
"Guys like Jacob Oram, Brendon McCullum and even Daniel Vettori, that middle to lower order is an extremely dangerous part of their batting line-up," he said.
"They've chased us down before and got close a few times, so we know they can do it. They like to chase, they have proven that and they have stated that."