The British legend, who announced last October that she is leaving the BBC One soap, told The People that her last day will be an emotional experience that she is not looking forward to.
Windsor, 72, said: "I'll be so sad to leave Peggy behind. She's such a wonderful character to play. But at least I'm still being called an ageing sex symbol and a national treasure. I love that."
As to whether the head of the Mitchell clan will be killed off, Windsor said she remains in the dark. "You know what soaps are like. They never tell you. So I guess you will have to wait and see. They ain't told me!" she said.
Windsor, who joined the show in 1994, said the only thing that she knows for certain is that she will throw a "big party" to mark the event.
"EastEnders has been wonderful to me. I've had the pleasure of working with a marvellous cast and crew. I have made many lasting good friends," she said.