The actress, who played Monica in the series, explained that she is envious of the Sex And The City cast for making two films.
"I wish we could do that with Friends," she told the Los Angeles Times.
"The thing is, the characters from Sex And The City hopped all over Manhattan. On Friends, we were always stuck in the apartment and that coffee house."
Cox revealed that her Friends co-star Jennifer Aniston has a concept for a movie but admitted that she does not think a film will ever be made.
"I don't think it's going to happen," she said. "Would [series creators David Crane and Marta Kauffman] want to write it? Because they'd have to be involved. I don't know... a lot of things would have to break just right for it to work. But we've daydreamed about it."