Her co-star Jared Harris (Lane Pryce) previously indicated that Moss had left the series, after her character Peggy quit her job at Sterling Cooper Draper Pryce.
However, Moss told GQ: "I didn't realise that so many people would think that [Peggy was leaving]. Maybe it just comes from me knowing. So now I'm in this position of having to be really secretive about this, which I didn't anticipate having to do!"
The Emmy-nominated actress encouraged fans to "draw [their] own conclusions" about her status with the show.
"If I'm in LA shooting Mad Men, then I guess they're not letting me go," she joked.
"It's incredibly flattering [that people care]. Like the worst thing that could happen is that nobody would care, you know? So it's honestly incredibly flattering that people don't want her to leave."
Mad Men creator Matthew Weiner has also hinted that Moss will remain with the show, explaining that Peggy is "part of Don's life".
"We knew that [the character] was going to leave - that she had to leave - and that we would see the beginning of a new relationship," he explained.
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Watch Digital Spy's recent interview with Mad Men star Jon Hamm below: