What she meant by that is open to debate. People have been debating what she meant exactly for many years. But basically, one of Thatcher's foremost thoughts was that people were too quick to look to the state and the government for help (the aforementioned "society") rather than taking responsibility for themselves. The full quote is as follows: I think we've been through a period where too many people have been given to understand that if they have a problem, it's the government's job to cope with it: 'I have a problem, I'll get a grant.' 'I'm homeless, the government must house me.' They're casting their problem on society. And, you know, there is no such thing as society. There are individual men and women, and there are families. And no government can do anything except through people, and people must look to themselves first. It's our duty to look after ourselves and then, also to look after our neighbour. People have got the entitlements too much in mind, without the obligations. There's no such thing as entitlement, unless someone has first met an obligation. Given she systematically destroyed the livelihoods of millions of working class people in this country, I don't really care for her sanctimony.

I think she is saying that "society" does not exist as a single entity (or "body of people") that is compassionate and that is going to take care of you. The concept of "society taking action" is actually distributed among many disparate people coming together to cooperate with each other for the common good, and not necessarily to take care of any one individual who is too lazy to take care of oneself.