Sandler was questioned on his time on SNL while discussing his That's My Boy co-star Andy Samberg's recent departure from the series.
"You're scared when you go. SNL is a home. You've got all of your brothers and sisters there, and it's a great time," he disclosed to Collider.
"There are 20 shows a year and you're definitely going to get on some of them and get to do your thing. When that goes away, there's no life jacket. You're just on your own and you've gotta figure it out."
He continued: "You feel like, 'All right, I've done what I want to do. I don't want to repeat myself too much. I've gotta figure out some other creative things to do'. I remember watching the show after I left and I was like, 'Oh, s**t, they can do it without me! That hurts!' They do it quick.
"None of them are going, 'Oh, man, I miss that guy!' They're like, 'All right, get that guy out of the f**kin' way and let me go!' It hurts to watch, in the beginning, and then you start loving it again. You miss it, but you're also glad those guys are doing it and you're at home watching."
Sandler went on to offer predictions on Samberg's post-SNL career, saying: "Whatever he wants to do with his future is going to happen. He's a little less nuts than me. When I was his age, I was a little more obsessed with kicking ass.
"He's obsessed with having a good life, and I like that. He's going to have a nice life, and he'll also kick ass, if he wants to."
That's My Boy opens on Friday in the US and on September 7 in the UK.
Watch a trailer for That's My Boy below: