Kelly's character Becky McDonald bowed out of Weatherfield after almost six years on Monday (January 23), jetting off for a new life with her lover Danny Stratton - played by Sheffield.
She earlier crashed ex-husband Steve McDonald's (Simon Gregson) wedding to Tracy Barlow (Kate Ford) and exposed her enemy's lies about her miscarriage.
Reflecting on the plot, Sheffield told The Sun: "I have loved playing Danny. The most special thing has been working with Katherine Kelly.
"She is an amazing actress and it's been nice to be part of a storyline that gave her character a happy ending."
Sheffield went on to confess that he was initially apprehensive about accepting a part in Corrie, but found the experience to be "100 times better" than he expected.
"I was really nervous as Corrie is so popular," he recalled. "I was worried I'd have to put on a Northern accent, but they assured me I wouldn't.
"From the word go, people made me feel welcome. I really enjoyed it. I'm sad to leave."
Kelly, meanwhile, has said that she is "delighted" with how Becky left the soap.
"She's had a rough old ride of it over the past few years - which as an actress, has been fantastic to play," Kelly noted. "But as a viewer, I would be upset for Becky, so I think it's nice that we've rounded things off."