Veterans are warning the Federal Government not to touch military pensions in next month's budget.

The ABC has learnt the Coalition's razor gang will consider savings which could leave some former Defence personnel worse off.

One of the proposals is believed to involve closing an old Defence pension scheme and forcing members into a modern version.

More than 250,000 Australians get veterans' affairs support.

Next week the Expenditure Review Committee is due to examine various departmental proposals, including lifting the service pension age.

But veterans are vowing to fight any changes to military pensions that may be announced in the Abbott Government's first budget.

Defence Force Welfare Association president David Jamison says the Coalition would be breaking its election commitments to veterans if there are any changes announced next month.

"Well we don't expect any surprises. The Government committed to consulting with us regularly during this term of office," he told the ABC.

"And if it now comes up with surprises, particularly adverse provisions in the budget, we would regard that as an act of bastardry and betrayal."

His view is shared by one senior government source who told the ABC that "loopy ideas from the Finance Department won't go anywhere".

On Thursday, Treasurer Joe Hockey declared all forms of government expenditure are under review.

"We are looking at every area of the budget," Mr Hockey told ABC Radio's AM program.

Lifting the service pension age above 60 would also sit with the Treasurer's confirmation the age pension age will need to go up from 67.

"There is an inevitability at some point we will have to increase the age pension age," he said.

Mr Jamison admits his organisation is nervous that the Government has not been available for consultation in recent months.

"In view of the fact that they keep saying they're going to be consultative with us and talk to us and keep us abreast of their thinking and their plans, to have silence is really quite worrying," he said.

Mr Hockey is refusing to be drawn on any possible changes to entitlements for military personnel.

A spokesman told the ABC Mr Hockey "does not comment on budget speculation".