Coster-Waldau added that seeing seven-year-old Robin Arryn being breastfed in season one was also pretty difficult to digest.
"It was so weird and wrong on every level," he said.
After confirming he'd already filmed his last scene after nine years working on the show, the actor praised Thrones creators D.B. Weiss and David Benioff for the way the final season played out.
"They just couldn't have done a better job on ending our story," he said. "We've worked harder than ever before. We spent twice as much shooting these six episodes than we did on two full seasons before. No expense has been spared. We've gone all in."
Coster-Waldau also praised the cast and crew, pointing out that there had been "no a**holes on the show."
"It's quite something," he said. "I'm gonna miss all those people, that's for sure."
Game of Thrones is slated to return in 2019.