Klitchsko, in an interview with the German magazine Der Spiegel, said he does not want a military solution to the current crisis. He said an approach to NATO is helpful even if Russia sees it as provocative.
"Ukraine has and will continue to be militarily threatened by Russia, so the people of our country want a partner who can guarantee their safety," he said. "But that doesn't mean we'll have to automatically enter into NATO."
A former professional boxer, Klitchsko is head of the Ukrainian Democratic Alliance for Reform. The party decided not to participate in the interim government.
Klitchsko said he believes the secession move by the Crimea has more to do with economic problems than with ethnic resentment.
"They want a job, a proper income, a better life. That's where we need to try to offer them better solutions," he said.
Like many in Ukraine and Russia, Klitschko said he has a mixed heritage with a Ukrainian father and a Russian mother.
"We need to use all means of pressure at our disposal to get this conflict resolved at the negotiating table," he said. "It's unimaginable that Ukrainians and Russians would kill one another."