"And the good thing is he's properly dead. There's no question of whether he'll come back or not. I mean, I'm really, really, really dead."
Madden's definitive on-screen death stands in contrast to that of Robb's half-brother Jon Snow, played by Kit Harington. Before season six premiered last month, Harington had to endure months of speculation: He's still got Jon Snow hair! He's been spotted in Dublin!
"Oh god, no," moans Madden. "I mean ... poor Kit." Madden gave a good five years of his life to Game Of Thrones. He entered Westeros aged 22 and "came out the other end as an adult". He saw many reflections between himself, "having to take a lot of this responsibility in different things as they were thrown at me", and Robb, "a young man who had to grow up quite quickly".
While Game Of Thrones got him in the room with the likes of Kenneth Branagh (who cast Madden as the charming Prince in last year's Cinderella), his biggest challenge since leaving the series has been knowing how to make the most of those opportunities.
"It's trying to work out what's going to be the most interesting path and what I'm most excited by."
The one thing he knows for sure is that he always wants the next thing to be "completely different" from the last. Which is how he went from Cinderella to Bastille Day, a Taken-style action film with a youthful edge set in Paris and co-starring Idris Elba and Charlotte Le Bon.
It was just nice to be in jeans and not white skin-tight leggings for a change.
Madden said: "It was just nice to be in jeans and not white skin-tight leggings for a change."
Madden plays Michael, a young American pickpocket in Paris who one day picks the wrong pocket: upon discarding a stolen bag, it explodes, killing four people and painting Michael a terrorist suspect.
Captured by Elba's CIA Agent Briar, the pair unite to figure out the real terrorists and their intended target, stumbling into a conspiracy with roots far beyond Le Bon's ragtag activist group.
"Michael's lack of morals appealed to me, which is a funny thing to say," Madden laughs. "He doesn't care about anyone or anything, apart from himself. And that puts him in a place of being able to do what he likes. And he does.
"I found that combination of not having any direction but still having a drive really interesting."
When Michael finds himself way out of his depth, it's the gruff 'n' tumble Agent Briar who keeps him afloat.
Madden laughs that he and Elba are "chalk and cheese as actors ... I don't think we'd be cast in the same roles". But the duo quickly built a great rapport based on "taking the piss out of each other".
Madden is absolutely certain that Elba - star of Prometheus, Pacific Rim and TV series Luther - could foil a terrorist plot or stop a bank heist single-handedly in real life, too.
"His action stuff is brilliant in the film. I trained with him and watched him rehearse these things and he did them all and did them really, really well. I wouldn't want to fight Idris."
The odd couple's training included an ever-changing "assault course".
"That's where I got my worst injury," says Madden. "I jumped off a platform, was supposed to land on a roof and slide down it, but I cleared the roof and landed on my ankle - snapped that to one side." Less hazardous but more illegal was Madden's training in pickpocketing and sleight of hand with a guy called Keith the Thief.
"He does it professionally - as in, you know, a show. Though I think he did it maybe not-so-legally before," Madden chuckles. "It gets quite addictive."
Who: Richard Madden, aka the late Robb Stark
What: Bastille Day with Idris Elba
When: At cinemas now
