Annan also suggested that a non-interference policy among member nations of the Association of Southeast Asian Nations (Asean) ought to be revised, warning that domestic problems within a country often affected neighbouring countries in the same region.
"Asean can use peer pressure to steer things right in Myanmar," Annan told a media conference in Malaysia's capital Kuala Lumpur.
More political and economic groupings in the world such as the African Union and the EU have come to realise that crisis does not remain within geographical borders, but "tends to spread," he said.
Burma is a member of the 10-nation Asean, along with Brunei, Cambodia, Indonesia, Laos, Malaysia, the Philippines, Singapore, Thailand and Vietnam.
Annan said Asean "should be able to do more" to urge Burma's ruling junta to speed up action on its promises of democratic reform.
He also commented on the role of the United States in the UN, saying it "should work together with the UN" and not make decisions on its own, referring to Washington's move to begin the war in Iraq.
"No country can act on its own, no matter how powerful," said Annan.
However, he noted that the US government was beginning to become "more multilateral" in its policies.
"I sense a shift in Washington, even by this administration. It is becoming more multilateral than it was 2 years ago, more multilateral than it was in 2003 before the war in Iraq," he said. "And I suspect the next administration will continue this trend."
Annan arrived in Malaysia Thursday to deliver a speech on how the country could contribute to global peace and development.
He emphasized the role of Muslim nations, particularly multi-ethnic Malaysia, in mediating peace in the Middle East.//dpa