Speaking to CNN, the actor explained that he will move on from the show when his contract expires in 2012.
"As much as I like acting, I know that I would love to have a different life," he said. "A private life. I think doing this now for a living has become really hard. It's really hard.
"And I would rather go do other things and have whatever amount of time I have left in my life, have more of a normal life... I want to find out [if it's possible]. How close can I get."
Rumours that Baldwin would retire first surfaced last year when the actor admitted that he had lost interest in acting.