Thatcher died after suffering multiple strokes but the Premier League and Football League have both confirmed that clubs will not be asked to pay tribute to her in the coming days.
However, Whelan claims that he would be in favour of Wigan wearing black armbands in their FA Cup semi-final against Millwall on Saturday.
"We owe Mrs Thatcher a minute's silence," Whelan told BBC Sport.
"It is not my decision, the FA will make that, but I would be in favour of my players wearing an armband out of respect to Mrs Thatcher."
Thatcher served as prime minister between 1979 and 1990.