The actress and model, who dated the former Sex Pistols manager during the 1990s, said that he never told her about his cancer.
She explained to New magazine: "I didn't know anything about his cancer. When I saw him nine months ago, he never said anything about it. It was in New York, we went out dancing with his girlfriend and three little Asian girls.
"We have been best friends for ever. It jerks your chain about what life is. How much time we've got? Right now I'm just missing Malcolm.
"Malcolm was a fantastically unsung hero. We sure had fun together. We had a great life."
McLaren passed away earlier this month at the age of 64.