The first ever official visit of British Prime Minister David Cameron to Spain was cut short on Monday with the announcement of the death of former British Prime Minister Margaret Thatcher.

Cameron received the news of the death of the former leader of his Conservative Party while he was in his meeting with Rajoy and issued a brief statement of condolence.

"It was with great sadness that I learned of the death of Lady Thatcher. We have lost a great leader, a great prime minister and a great Briton," he commented.

Cameron decided to cancel a press conference with Spanish Prime Minister Mariano Rajoy in Madrid and a visit to Paris to rush back to London.

Rajoy too expressed his sorrow at the demise of the former leader, saying she was an "authentic reference in 20th century history," adding she had governed Britain at a "key moment in history," while showing her solid defense of her policies.

The visit of the British prime minister to Madrid took place in an atmosphere of uncertainty over Britain's future in the European Union. Cameron earlier spoke to El Mundo newspaper in which he discussed issues such as a possible referendum to take his country out of the EU.

"I wouldn't like that: what I would like is a reform of the EU. The EU is mature enough to withstand reform and we find ourselves in a worldwide race in which we have to compete with countries such as China, India, Indonesia and Malaysia. We need a more open, more flexible and more competitive Europe and that is our aim," said Cameron.

"It is a mistake to say Great Britain is only interested in the single market. We are a great European power and a front line European actor, but we believe in the EU. At times we think that it has been excessive with its directives, its interventions and its interjections and that has to change," he said.