He said this in an interview to Sena MP Sanjay Raut, who is also the executive editor of the party mouthpiece 'Saamana', on the occasion of the MVA government completing a year in office on Saturday.
"This government has the blessings of people and it cannot be intimidated by ED and CBI probes," Thackeray said.
"There is no end to vendetta politics. I am not in favour in taking this path. Stop this political perversity," he said.
His statement comes three days after the Enforcement Directorate (ED) conducted raids at the premises linked to Shiv Sena MLA Pratap Sarnaik in Mumbai and neighbouring Thane in connection with a money-laundering case.
The chief minister expressed confidence that his government comprising Shiv Sena, NCP and Congress will complete the next four years in office and said that it is up to the people to decide after that.
Thackeray said NCP chief Sharad Pawar and Congress president Sonia Gandhi showed political courage to join hands with the Shiv Sena to form the MVA government last year.
"Some people thought these three parties will not come together and that the Shiv Sena had no option but to go behind them," he said without naming the BJP.
The Shiv Sena and the BJP had contested the 2019 Maharashtra Assembly elections together, but the alliance fell apart after results following differences over sharing the chief ministerial post.
The Shiv Sena, which won 56 seats, had said the two parties had reached such an understanding before the elections, a claim denied by the BJP. The Sena then joined hands with the NCP and the Congress to form the government.
On the BJP's claim that it would wrest the Brihanmumbai Municipal Corporation (BMC) from the Shiv Sena in the 2022 civic polls, Thackeray said the BMC, which is controlled by his party, was a strong fortress of trust for the Sena.
"Mumbaikars will not allow the fortress to crumble," he said.
Slamming the BJP out without naming it for targeting his son and state minister Aaditya Thackeray in the Sushant Singh Rajput death case, he said, "When I am challenged, I am encouraged. Don't misjudge my demeanor of composure and patience."
"Even you have families and children, and you are not clean. Not just me, but the people of the state will teach you a lesson," Thackeray said.
"Politicisation of Sushant Singh Rajput's death was cheap politics...worse than perversity," he said.
He admitted that he had no experience of running a government and administration, but his family had a history of serving the people.
"There is excellent cooperation from allies in running the administration. While presiding over cabinet meetings, what surprises me is that all colleagues from Congress and NCP give me so much respect, although we were political rivals till recently."
"There is no tightrope walk. We have gelled with each other very well. I was never under pressure of power. I had seen power from close, even though I had not experienced it," he said.
Replying to a query about him driving to Mantralaya (state secretariat) and his official bungalow 'Varsha' from his personal residence in Bandra, he said his feet were firmly on the ground.
"The clutch, break, accelerator and the steering wheel are firmly in my hands," he said.
On the criticism that he had remained indoors during the pandemic, he said, "I am working from my office. If I had not ventured out, the Shiv Sena wouldn't have grown. Even during the lockdown, investments worth crores of rupees were brought to the state."
Speaking on "love jihad", a term used by BJP leaders to describe religious conversions in the guise of marriage, Thackeray asked whether the BJP's alliances with parties and leaders of different ideologies like PDP, Chandrababu Naidu, Nitish Kumar and Ram Vilas Paswan weren't "political love jihad".
Thackeray said that being in the government he got less time to spend with Shiv sainiks in the last one year.
"Then there is coronavirus, due to which political gatherings are not allowed," he said.
(Based on PTI feed with minor edits including heading)