"She said I do a lot of charity work and I said I do a lot of work with children."
The boxer, who is also an MBE, said he was still undecided whether to retire.
"It'll have to be something really special to make me want to fight again but I'll decide in the new year," he said.
"There'll always be another up-and-coming fighter. It depends how long you want to go on. It depends if I want to push it a bit or stop."
Calzaghe was accompanied to Buckingham Palace by his parents Enzo and Jackie and his girlfriend Jo-Emma Lavin.
Enzo added: "It's been a fantastic year for him".
In November 2007, Calzaghe beat Mikel Kessler to unify the WBO, WBA and WBC titles for the first time.
He then stepped up to light-heavyweight and defeated Bernard Hopkins in April to claim the championship belt.
He outclassed Jones Jr in their Madison Square Garden bout despite being knocked down in the first round, earning himself plaudits as the UK's greatest boxer yet.
Also receiving honours at the palace ceremony was actor Don Warrington, best known for playing Philip Smith in the 70s sitcom Rising Damp, and a contestant in the latest series of Strictly Come Dancing.
Architect Lord Rogers was made a Companion of Honour, while Sir Alan Beith, the Liberal Democrats' longest-serving MP and a former deputy leader of the party, was knighted.
Joe Calzaghe with his parents and girlfriend outside Buckingham Palace
This page is best viewed in an up-to-date web browser with style sheets (CSS) enabled. While you will be able to view the content of this page in your current browser, you will not be able to get the full visual experience. Please consider upgrading your browser software or enabling style sheets (CSS) if you are able to do so.