The 27-year-old actress is currently working with Salman Khan in Ek Tha Tiger, with Shah Rukh Khan in an untitled project directed by Yash Chopra and with Aamir Khan in Dhoom 3.
Kaif told The Times of India: "I am working [with Salman] for the third time and I had an amazing time. With Shah Rukh, the shooting is going on and I [am having] fun. It was good working with him."
When asked to pick her favourite Khan, the actress said: "This doesn't make sense to me. It is unfair. If suppose if you ask[ed] them to choose one of the actresses, even I will feel bad. Everyone is different.
"All three of them are icons and legends in their own way. I am fortunate enough to work with them. It's been great. If I had the chance, I would not allow anyone to work with them.
"But that is not possible as you cannot stop anyone from working with them," Kaif added.