The Palmer United Party leader removed his microphone and terminated the interview with Emma Alberici on Thursday after the Lateline host's persistent questioning over his Chinese business deals.

When the conversation turned to a civil trial brought against Mr Palmer by a Chinese government-owned investment group set to begin next week, in which he is accused of dishonesty and fraud, he grew increasingly agitated.

When Ms Alberici brought up documents breaking down $12 million that was allegedly misappropriated, Mr Palmer repeatedly said the allegations were "just not true".

The Lateline host continued to press the issue, with the two increasingly interrupting one another, until Mr Palmer decided to terminate the interview.

"Goodnight, goodbye, I don't want to talk to you anymore. See you later," he said.

And with that, he was gone.

It is not the first time the Palmer United Party leader has stormed out of a media appearance.

He hung up on ABC Melbourne's Jon Faine in August last year, and walked out of an interview with Sarah Ferguson on 730 in July.

Before discussion turned to China, Mr Palmer said PUP's deteriorating relationship with Jacqui Lambie was "a media beat up".

"I haven't seen Jacqui for over a month and you've got to realise that communicating through the media, and this is all a bit of a media beat up really," he said. "It's always best to sit down and talk to people and work things out."

Senator Lambie on Thursday morning said she expected to make a decision early next week about her future in the party.

Responding to Mr Palmer's claims that she had lied to the Senate and was plotting to set up her own political party, the Tasmanian senator said she was seeking "legal and parliamentary advice" about her next move to ensure she had "every move covered".

He told Lateline he had called Senator Lambie on Thursday evening and had left a message for her, but conceded later in the interview that she had not returned calls from himself or Senator Glenn Lazarus for more than a month.

He said this year had been very hard for the party's senators. "The main aim of the media, the pressure that has been on Zhenya Wang, Glenn Lazarus and Jenny (sic) Lambie to see whether they could break us up and change Australian history. That's in everybody's interest - the government, the opposition and the other cross benchers. They didn't like the fact they were working well as a team."

Mr Palmer said he was unaware of how material relating to conversations between Senator Lambie and the Department of Veterans Affairs was leaked to Channel Seven, saying it was the first he had heard about it.