The prime minister's comment came after she was asked whether she would "prioritise" controlling immigration over staying in the single market.
She told Sky News her approach was not "muddled", following criticism by the UK's former EU ambassador.
Mrs May, whose critics have demanded more detail of her aims, promised to provide this in "the coming weeks".
But Labour urged the prime minister to give "more clarity" ahead of the "most important negotiations for a generation".
Brexit talks with the EU are expected to begin as early as April.
There has been much debate in recent weeks about the nature of the deal the government is aiming for, in particular whether controls on the movement of EU citizens will mean the UK leaves the European single market and customs union.