The two starred together in Terry Gilliam's The Imaginarium Of Dr Parnassus, which had its Hollywood premiere at the AFI Festival.
Lily said: "It was the first time that anyone has ever died that's close to me - it's a universal feeling that anyone feels, shock, sadness."
But, she added, completing the film without him felt like a real achievement.
"I do feel really proud, I feel like it was such an impossibly difficult thing they were faced with trying to finish and I feel very proud that they did manage to finish it.
"Heath was an extraordinary person and you get to see it now."
She added that she learnt "experience-wise" through filming.
"It took a lot from me energy-wise and it gave so much to me experience-wise, I feel like I've been given a lot" the model-turned-actress explained.