I've had this problem since I bought the car 18 months ago. Did a lot of research and checking and had the dealer double check lot's of times, but I still haven't solved the issue.
Also I found one thread in the 3rd gen forum with a similar thing, but the thread is unfinished and stays unanswered.

This is the problem:
The front passenger side clunks and there is a slight inbalance starting from +/-135km/h. With the wheels on the ground and the cars weight on it, there IS play on the wheel. when I jack it up to check the bearings, there is vitually NO play.
The Mazda dealer also sais the bearings are fine.

In the past year I've replaced:
-Strut mounts
-springs
-shocks
-inner tie ronds
-outer tie rods
-lower ball joints
-swaybar bushings
-swaybar end links
-lower control arm bushings
-brake discs/pads/lines
-rims
-tires
-lug nuts
-camber correction bolts

All the bolts and stuff have been torqued to spec and double checked. I have no idea what else to replace that could solve this

 

Does it get worse when you turn (hard) left or right? Have you had your wheels balanced recently? Are all of the parts oem that you replaced? What about the wheels are they stock? It could be a brake rotor out of balance...

 

when I turn left and put stress on the pass. side wheel, I can feel that wheel make slight steering moves that I'm not making with the steering wheel. I bought new rims/tires+balancing a year ago (stock size) and that didn't solve the problem. I replaced all 4 brake rotors as well and that didn't change anything either.
Not all parts are oem I replaced:
-Strut mounts (kyb)
-springs (tanabe)
-struts (tokico)
-inner tie ronds (oem)
-outer tie rods (super now)
-lower ball joints (oem)
-swaybar bushings (energy suspension)
-swaybar end links (mazdatrix)
-lower control arm bushing (mazdaspeed)

 

does it clunk when your driving? or while sitting still?
If sitting still its your power steering going out if you have one? There is a pressure leak basically.
If driving my guess is your outer tie rod ends could be bad.
Another cause could be your upper strut tower mounts are catching and that would cause a clunk, when the gaskets up on top tear apart.

 

I have no powersteering. It only 'clunks' while driving. But what you say about the strutmounts catching, haven't thought about that yet! I guess this could 'cause the play on the wheel when the weight of the car is on it? Makes sense. Going to check that out, thx!

 

check the 2 big bolts that hold the Strut to the Spindle.if they are loose you will get a clunk.

 

I noticed when I installed my Konis, and the Tein springs I required a spacer for the upper strut bearing and Strut shaft, you might have a similar issue.