Clinton, while speaking at a rally on Monday in Scranton, Pennsylvania,
had said that the Milwaukee protests following the shooting death of an armed African-American man, Sylville Smith,
by an African-American police officer show America has "urgent work to do to rebuild trust between police and communities."
"Everyone should have respect for the law and be respected by the law," she added at the rally.
Walker told CNN's Erin Burnett that Clinton was "trying to imply that the police did something wrong here when I think it's important for nobody to rush to judgment."
"I would hope that leaders of either party would do that, say. There's a process. Let's let that be. In the larger context, sure, we can talk about rebuilding trust across America. But that's where I just drew the line of distinction," he said on "Erin Burnett OutFront."
Walker told "Fox & Friends"
earlier on Tuesday that Clinton's statements "like that and the lack of leadership we have had from the president on this issue only inflame the situation."
The Wisconsin governor told CNN that he didn't say the police were right or the "individual" was wrong in this specific instance.
"I said there's an independent process out there," he said. "And I think that's just what leadership requires, even in the midst of a political campaign to not say I'm gonna make statements one way or the other."
Smith was shot on Saturday, leading to protests hours later that resulted at least six businesses being torched and four officers being injured.
The city enforced a curfew on teenagers Monday night after the violence in an effort to restore peace. Walker declared a state of emergency on Sunday after the weekend violence.
Walker, who entered the race for the Republican nomination and dropped out in September, also commented on the election between Republican nominee Donald Trump and Clinton, saying the GOP can't abandon Trump.
"A vote for anyone other than Donald Trump is de facto a vote for Hillary Clinton. And I for one am not going be party to that," he said. "I think you can't abandon a presidential candidate no matter who it is and expect other candidates down ballot to do reasonably well."