It is surprisingly difficult to find an original source for that quote. There are many references to it in news reports in relation to Margaret Thatcher's funeral, which Lord Kinnock did not attend (in favor of a previously scheduled funeral). Instead, he put out a radio tribute that he had recorded in advance, which seems to be what all the news reports are referencing. However, trying to track down the actual text of it is painful.
I finally found an excerpt of it here, in a timeline of news of the day. Her death is announced at 12.49pm, Kinnock makes a statement at 3.30pm. However, the quote in question is from a pre-recorded segment to be used when she died, which was released by Radio 4 around 6.21pm. Unfortunately, the phrase is not part of that excerpt, and I can't even confirm for a fact that it is just an excerpt (except by comparison: a few other things on that page say "in full") .
I'm continuing to look for a full quote.
Update: I think this is the radio program where the quote is supposed to have come from, but it's not available to listen to (at least for me). If someone in the UK can give it a try and see whether they can listen to it, I'd appreciate it.