Modulation recognition is an important task in radio signal processing. Most of the current researches focus on supervised learning. However, in many real scenarios, it is difficult and cost to obtain the labels of signals. In this letter, we turn to the more challenging problem: can we cluster the modulation types just based on a large number of unlabeled radio signals? If this problem can be solved, we then can also recognize modulation types by manually labeling a very small number of samples. To answer this problem, we propose a deep transfer clustering (DTC) model. DTC naturally integrates feature learning and deep clustering, and further adopts a transfer learning mechanism to improve the feature extraction ability of an embedded convolutional neural network (CNN) model. The experiments validate that our DTC significantly outperforms a number of baselines, achieving the state-of-the-art performance in clustering radio signals for modulation recognition.