"I have been removed from control not by the people but by the armed forces, and that is illegal," Thabane told the BBC.
"I came into South Africa this morning and I will return as soon as my life is not in danger," he said.
"I will not go back to Lesotho to get killed."
Lesotho's military seized control of police headquarters and the premier's residence in the capital Maseru in the early hours today, but later withdrew, a government minister told AFP.
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"The (military) commander said he was looking for me, the prime minister and the deputy prime minister to take us to the king. In our country, that means a coup," he said.
The putsch comes just months after a power struggle in the landlocked country that describes itself as the "kingdom in the sky".
Maseribane said people with guns were roaming the city but that he had no information about casualties, accusing the military of jamming radio stations and phone networks.
"There is some intelligence that he is part (of the coup)," he said.
The LCD is part of a shaky coalition which has governed since elections two years ago.
But, increasingly frustrated with Thabane, the party vowed months ago to form a new government and oust the premier in the nation that is entirely surrounded by South Africa.
In response, Thabane suspended parliament -- with the blessing of King Letsie III who has ruled the constitutional monarchy since 1996 -- allowing him to dodge a no-confidence vote.