Karen Gillan (Amy) and Arthur Darvill (Rory) will both exit the sci-fi drama midway through its seventh series.
"The event status of Amy and Rory leaving, which I've just written, you feel tremendous pressure with that," Moffat told The Huffington Post. "Because you don't know if you've enjoyed a story until it's over, and this is the ending.
"And then you're bringing someone else in [as the new companion]. All that is massively demanding."
Moffat added that it remains difficult to keep Doctor Who "very near the top" throughout a series run.
"We're always trying to work out how to get episode seven coverage in the newspapers," he explained. "Obviously episode one will [be written about], but how do you make [a later episode] a must-see?
"There's a constant game of that, because Doctor Who is an expensive show, it has to be very near the top all the time. That's tough to keep going."
Gillan and Darvill's final Who episode has been filmed in New York and will feature the return of the monstrous Weeping Angels.
Series star Matt Smith recently described the script for the episode as "incredible".
"[I am] really, really pleased with [the scripts]," said Smith. "So if we get them right, the Ponds' final hour could be incredible."
Doctor Who returns to BBC One this autumn.