The comedian also dismissed rumours that the cast will film more episodes of the hit sitcom.
Speaking to The Mirror, he explained: "Realistically I think it would be very difficult to get an ensemble cast of eight of that calibre back together now or at any time in the future."
Horne added that he was pleased to leave the programme when audiences were still enjoying it.
"I didn't feel sad about finishing filming," he said. "Some people found it emotional, but I didn't. Maybe I'm cold-hearted but I just felt we were doing something very positive. I felt exhilarated. We knew that was the end and we were tying everything neatly up rather than lingering and possibly doing something disappointing next time round."
However, Horne added that he has kept mementos from his time on the show.
"I've got a couple of souvenirs," he revealed. "The costume designer made the T-shirt Gavin wore on his stag do into a cushion for me. It's hideous."
8.7 million people tuned in to the final episode of Gavin & Stacey, making it the fifth most watched programme on New Year's Day.