A note on a modified Bessel function integral

We investigate the integral $$\int_0^\infty \cosh^\mu\!t\,K_\nu(z\cosh t)\,dt \qquad \Re(z)>0,$$ where $K$ denotes the modified Bessel function, for non-negative integer values of the parameters $\mu$ and $\nu$. When the integers are of different parity, closed-form expressions are obtained in terms of $z^{-1}e^{-z}$ multiplied by a polynomial in $z^{-1}$ of degree dependent on the sign of $\mu-\nu$.