Thanks to Gruff Bunny and Louis' comments, I found the source of the issue.
As I use Backbone.js too, I loaded a special build of Lodash compatible with Backbone and Underscore that disables some features. In this example:
var clone = _.clone(data, true);
data[1].values.d = 'x';
_.isEqual(data, clone) === false
_.isEqual(data, clone) === true
I just replaced the Underscore build with the Normal build in my Backbone application and the application is still working. So I can now use the Lodash .clone with the expected behaviour.
Edit 2018: the Underscore build doesn't seem to exist anymore. If you are reading this in 2018, you could be interested by this documentation (Backbone and Lodash).