McCluskie, who starred on the soap for over 30 episodes as Kerry Skinner in 2001, vanished from her London home on March 1.
A police search for the actress recently led to a female torso being discovered in Regent's Canal in Hackney, but the remains have not yet been formally identified.
"It's tear-jerking to hear what's happening and I'm utterly devastated," Gaffney told The Mirror.
"It's something you see in a movie and there are no words to describe the situation. This was a lovely girl with a heart of gold. I'm speechless and it doesn't make any sense. Not knowing is the hardest thing - it's tear-jerking and totally heart-wrenching."
"She came in and was immediately a very important and instrumental part of the show, causing a ruckus in the characters' lives," he commented.
"She was so popular with all the cast and so small in height that you just wanted to cuddle her - and everyone did. There was a definite connection between us.
"We were engaged [on screen] and it was a silly childish thing for us to do - and then she went off to Ibiza without me. Effectively, she came in, caused a stir and went off. She was an important part of the show and she really shaped my character."
BBC News has reported that a post-mortem examination carried out on the body found in Hackney proved inconclusive. Further investigations could take some days.
A 35-year-old man, thought to be McCluskie's brother, has been arrested in connection with the case and remains in police custody.
> Body found in search for missing EastEnders actress Gemma McCluskie
> Man arrested after body found in search for EastEnders' Gemma McCluskie