Addressing a gathering of party workers here this evening, Thackeray said whatever needs to be done on the matter "has to be done now".
"It's time...He (the PM) stops that ('Mann ki Baat') and starts 'Gun ki Baat' with Pakistan to teach it a lesson," he said.
'Mann ki Baat' is Modi's popular monthly radio address to the nation.
Two Indian soldiers were killed and their bodies mutilated by Pakistani troops on the Line of Control (LoC) in Jammu and Kashmir yesterday.
The Sena is a constituent of the Modi government and also part of the BJP-led ruling coalition in Maharashtra.
Thackeray also said his party knows Mumbai inside out and that's why it has been able to thwart attempts by the BJP to control the affairs of the financial capital.