The actor joined fellow castmembers in saluting Wiig on SNL's season finale, which saw Mick Jagger sing 'Ruby Tuesday' directly to the Bridesmaids star to close the show.
Hader has now told Late Night with Jimmy Fallon that Wiig's exit was very hard on SNL's cast and crew.
"That was pretty rough," Hader admitted. "We were doing a sketch before the last one, and suddenly it hits you - 'This is our last sketch together'."
Hader provided details on Saturday Night Live's wrap party where Jagger and Amy Poehler performed "live karaoke" with Foo Fighters in Rockefeller Centre.
"[Mick] sang live karaoke... Suddenly the song 'Bitch' came on and we were like, 'Oh, that's Mick Jagger singing. Oh my God'," he recalled.
Seth Meyers also recently weighed in on Wiig's decision to leave Saturday Night Live, saying: "It was really sad.
"I mean, you spend every second with these people for seven years. It's like going to high school and college with them, minus a year!"
Wiig starred on SNL for seven seasons.
Watch Bill Hader discuss SNL's season finale on Late Night below: