Duterte bristles at any Western condemnation of his signature campaign, which has killed thousands and critics say could amount to crimes against humanity.
The comments late Monday from presidential spokesman Salvador Panelo came in response to the UN Human Rights Council last week backing the Iceland-proposed resolution to review the killings.
"(Duterte) is seriously considering cutting diplomatic relations with Iceland," Panelo said in a statement.
"The adopted Iceland resolution is grotesquely one-sided, outrageously narrow, and maliciously partisan," he added.
Duterte launched the anti-drug crackdown in 2016, and since then police say they have killed over 5,300 drug suspects.
However, human rights groups say the true toll is four times that number.
The UN review comes in addition to a preliminary examination already launched by war crimes prosecutors from the International Criminal Court, which the Philippines left earlier this year.
Panelo attacked the UN resolution saying it "likewise demonstrates how the Western powers are scornful of our sovereign exercise of protecting our people".
Duterte's government frequently paints international criticism as a violation of sovereignty, but watchdogs counter by saying an impartial local review is nearly impossible while Duterte is in power.
Last week Amnesty International released a report alleging the killing is "systematic" and police face very little, if any, scrutiny over the nightly slayings.
Duterte has already publicly mocked Iceland over the UN vote.
"Iceland, what is Iceland's problem? Just ice. That's your problem. You have too much ice," Duterte said Friday.
"These idiots, they don't understand the social, economic, political problems of the Philippines."
While the Philippines and Iceland have diplomatic ties, they do not have embassies in each other's country, said the Filipino foreign minister.
Economic ties include Icelandic investment in geothermal energy in the Philippines and Filipinos working as office and factory workers and nurses in Iceland.
Philippine Foreign Minister Teodoro Locsin had said his nation could withdraw from the UN rights council over the vote but later said it would not do so.
Philippine President Rodrigo Duterte is 'seriously considering' cutting his nation's diplomatic ties with Iceland after it spearheaded a UN resolution to probe his deadly drug war, the leader's spokesman said.