Macy told the Los Angeles Times that "on many levels" he loves the character.
"I have a poetical licence to kill here," he said. "What can be better than to have a character who's inebriated much or most of the time? There's pretty much nothing that's out of bounds for Frank."
Macy added that Frank is a different character from his previous roles, saying: "I like the character because it's novel for me, although I've played more than my share of misfits and losers and guys behind the eight ball.
"This is a little bit different because the reality is, Frank is quite a powerful fellow. He's very smart, he's very driven. He's got a wickedly good sense of humour. It just so happens he's decided to live outside the law."
Shameless airs on Sundays at 10pm on Showtime.