Thabane said he fled to South Africa "to get out of the way" of the alleged military coup.
Thabane said soldiers seized government buildings in the capital of Maseru, though the army denied the staging of a coup.
"I have been removed from control not by the people but by the armed forces, and that is illegal," he said. "I came into South Africa this morning and I will return as soon as my life is not in danger. I will not go back to Lesotho to get killed."
Tensions have been high in Lesotho since June when Thabane suspended parliament sessions due to feuding in his unity government. He said his actions have not undermined the government, despite allegations otherwise.
There were no reports of injuries involved in the alleged military takeover.
"In my political life, it was not the first time that I saw this kind of activity by the Lesotho army," Thabane said.