The actor has reprised his role as Fox Mulder in two big-screen spinoffs from the series – 1998's The X-Files and 2008's The X-Files: I Want To Believe – but the latter received largely negative response from fans and critics alike.
However, Duchovny confirmed to Collider that he, along with his co-stars, would be keen to continue the film series with a third instalment.
"That book doesn't close until somebody dies, really," he said. "One of the greatnesses of the show was its open-endedness. It was about possibility. It wasn't about closure. It just couldn't be. There is no such thing as that story ever ending.
"Those characters are forever searching. That's what they do. Even if we're not watching them, they're out there, in some dimension. Mulder and Scully are still doing their thing because that's their nature."
Duchovny went on to say that he has found Fox executives' reluctance to green light another film "bemusing", given the franchise's built-in audience.
"I would love to do another film, or more – I think we're all game for it. I know I'm kind of perplexed that Fox isn't more [enthusiastic].
"Here's a homegrown property that you don't have to go buy, like f**king Green Lantern or something, to make it. Here you've got an actual action franchise that's your own. It's weird to me, but I'm not an executive."
He suggested that I Want To Believe, which was directed by series creator Chris Carter, failed because it was both too dark and too low-budget to appeal to summer blockbuster audiences.
"Unfortunately, with the last one, they didn't spend the money to compete in a summer fashion, and they brought it out in the summer. It should be a summer film. It should be an action film. But, the last one we made was not.
"The last one we made was a dark, contemplative, small $25 million film. It was basically an independent film."
Executive producer Frank Spotnitz also spoke out recently to express his desire to make a third film.
Duchovny's co-star Gillian Anderson has also suggested that she would be keen to reprise her role as Dana Scully in a third film.
Watch a trailer for The X-Files: I Want To Believe below: