Ledger died in 2008 from an accidental prescription drug overdose.
Lohan is known to have been friends with the Aussie star, with her mother Dina even claiming they were in a secret relationship at the time of his death.
It was reported that Lohan had been making arrangements to visit Ledger in New York City and was planning to arrive just days after he died.
Star says her diary reveals how devastated she was by her loss.
"When a person dies the world stops. I'm numb,'' she wrote.
In 2008, Lindsay's father Michael Lohan made public a number of telephone conversations he'd secretly recorded, including one in which her mother mentioned Lindsay's supposed relationship with Ledger.
"And she was dating Heath when he died. I don't know if you know that, but I know 'cause I would drop her off and they were friends very, very close, okay?'' Dina is apparently heard saying.
- AAP