The con man drama was axed in September after just two episodes due to disappointing ratings.
"We made a show that we really loved," Reilly told reporters at the TCA press tour. "[Critics] really believed in the show. But not enough people showed up. We were very disappointed, but that's the reality of the business. I'd much prefer to fail with a show we are creatively proud of than fail with a show we're embarrassed with."
Reilly also disputed claims that the series would have been better served on a cable channel.
"I take umbrage with the idea that all the great shows can only be on cable," he said. "It's the culture of Fox to be bold creatively. One discussion we did not have is saying, 'Let's not do that again'."
Lone Star ended on September 27 on Fox, with four produced episodes still unaired.