"I mean, we were in Parliament where freedom of speech is unlimited," he told reporters outside the High Court in Pretoria.
"You call police. Fortunately white police came. They know the law unlike our fellow brothers."
Malema said when the police arrived at the National Assembly they questioned why the EFF was there.
"When they arrived there, they said to them, 'well, what do we do?' because these guys here, they are protesting at their workplace, they are non-violent, they are not beating up anybody.
"'As far as we are concerned, we as police we also do not have anything to do with what happens inside Parliament. So, why do you call us here?'" he said.
On Thursday, Malema objected to President Jacob Zuma's reply to a question about when he was going to repay part of the R246 million spent on security upgrades to his private Nkandla homestead in KwaZulu-Natal.
National Assembly Speaker Baleka Mbete ordered the red overall-clad MPs out after they began to disrupt proceedings and started chanting "pay back the money".
The MPs refused to leave, continuing to chant and shout slogans, and riot police were called in to help remove them.
Mbete was forced to adjourn proceedings.