The Liberal Democrat leader said he was not clear why his coalition partner had chosen to make the remark yesterday.
However, he defended spending public money on Baroness Thatcher's ceremonial funeral, and insisted George Osborne should not be criticised for "showing emotion" during the service at St Paul's Cathedral.
Before the ceremonial events began yesterday, Mr Cameron told the BBC that Lady Thatcher had been proved right on social issues as well as economic ones.
"I think in a way we are all Thatcherites now," the Prime Minister said. "One of the things about her legacy is some of those big arguments we had everyone now accepts."
In his weekly LBC 97.3 radio phone-in, Mr Clegg said he recognised Lady Thatcher's "huge impact" but he did not regard her as a "role model in everything".
"I am not a Thatcherite, I am not a Conservative so I did not agree with quite a lot of what she did," he said.
"But that is not to deny that she had a huge impact on the country - friend and foe have recognised that over the last several days.
"With the benefit of hindsight I think what you can see is she shook the country up, certainly economically, in a way that most people now accept was necessary.
"But there were other things, ranging from her attitude towards apartheid South Africa, Section 28, gay rights ... the effect of some of the policies on particular parts of the the country in the North."
Reminded of Mr Cameron's comment, the Deputy Prime Minister said: "He is the leader of the Conservative Party. He is perfectly entitled to say that.
"I certainly wouldn't call myself a Thatcherite. I am a liberal. She wasn't a liberal."
Asked why he thought the premier had made the remark, Mr Clegg replied: "I don't know ... I guess perhaps the point that he was making is that quite a lot of the big economic reforms that Thatcher governments introduced - trade union reform, liberalising the economy, boosting the private sector - these big reforms were not put into reverse by subsequent governments."