The actor played the volatile Shane in the first two seasons of AMC's zombie drama, but the character was killed off in the episode 'Better Angels'.
"I miss him," Bernthal told the Los Angeles Times. "I fell in love with this character, and I think it's a scary thing to do because so many people feel like he's a dangerous, vicious guy, but my heart really went out for this guy."
However, the star added that he did not mind being written out of the show, explaining that he was "a soldier to the story".
"If you're a casualty of that, and that casualty serves the story, then so be it," he said. "I'm totally down for that. I knew from the jump he was not necessarily going to last for too long."
> Walking Dead director: 'Season three about the human menace'
Bernthal also voiced his satisfaction at having expanded the Shane character from the "one-note villain" of the original Walking Dead comics.
"I never wanted this guy to be that," he explained. "I thought one of the real keys to this character, especially in this season, was his loneliness and his solitude.
"It's the kind of loneliness when you're right there with the people you love, but you can't be with them the way you want to. I think that makes for this cutting loneliness that makes a person capable of being quite dangerous."
A third season of The Walking Dead recently began shooting, with new cast members David Morrissey (the Governor) and Danai Gurira (Michonne).
Watch a preview video for season three of The Walking Dead below: