The inflation rate as measured by CPI dropped to just 0.3% for January, down from the previous month, which was a joint record low at 0.5%.
Xafinity said pension schemes, which typically look to protect themselves by investing in secure assets, are susceptible.
Index-linked Government bonds are one of the assets usually seen as secure, as they increase in value in line with inflation.
But Xafinity said the problem comes when inflation falls below zero and the scheme's assets also drop in value – as schemes are typically not able to reduce members' benefits in the same way. Any period of deflation is therefore likely to increase pension scheme deficits, the firm said.

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Paul Darlow, head of Proposition Development at Xafinity, said: "Deflation is not just a concern for the general economy, it would also have potentially serious implications for pension schemes. Many investment strategies do not protect pension schemes against a period of deflation.
"We are seeing increased interest in insurance products (such as buy-in products) that do provide schemes with protection against deflation.
"Pricing of these products has been very attractive recently compared with an alternative investment strategy of holding Government bonds."
Ben Brettell, senior economist, at Hargreaves Lansdown, said: "The Bank of England expects the rate of inflation to drop below zero for at least a couple of months this spring, and remain close to zero for the rest of the year.
"If it turns negative this will be the first 'deflation' experienced in the UK since the 1960.
"Governor Mark Carney was at pains to point out last week that risks of a deflationary slump were minimal, but MPC member Martin Weale (who until December had voted for higher rates) explained that the risk of low inflation expectations causing a deflationary spiral was what persuaded him to abandon his calls for a rate rise."