"I don't like to get emotional in front of people so I think I shed a few tears there.
"And also with some quiet goodbyes to Mimi (Leder, director) and Carrie (Coon, co-star) and everyone else."
The show, which followed the survivors of "the departure" in which 2 per cent of the world's population randomly disappeared, ended its three-season run on SoHo last night.
It got rave reviews, with many praising it as one of the finest shows in recent memory.
Many wanted the show to continue but Theroux - who is married to Jennifer Aniston - always knew the programme wouldn't run for years, as it was one of the reasons why he signed up for the drama.
While he's adored working on the show, he's not sure he'd want to continue playing Kevin any longer.
Asked if he'd have been up for a fourth season, he told Vulture: "It's hard to say. Damon (Lindel, co-creator) was always very upfront about, we're not doing eight seasons of this show. We're not even doing five seasons of this show.
"At the outset, before we even shot the pilot, in order to put my mind at ease, he said, 'Look' - because I was sort of reluctant about doing a television show, just because you can get locked up for enormous periods of time - he said, 'This will be three or four seasons max.'
"He's like, that's the amount of time I think it's going to need to tell this story without beating it to death or dragging it out."
And the actor thinks Damon and co-creator Tom Perrotta ended the show at the perfect time as it would have ruined its legacy if there'd been more episodes for no real reason.
He added: "As I've said before, I feel like he and Tom put that last stroke on the painting and went, 'You know what? This is the time to walk away and we're done. If we were to put more paint on it we'd just ruin the painting.'
"The mark of a good showrunner is to go, 'Let's not try and wring out these characters and let's not write ourselves into corners and let's not start adding colours that don't deserve a place on this thing.'
"I think it was the perfect little trilogy or triptych for our show."
- Bang! Showbiz