The actor is reprising his role as Kabletown executive Jack Donaghy for 13 new episodes, including a one-hour series finale.
In an interview with TV Guide, Baldwin described the melancholy mood on the 30 Rock set as they shoot the final instalments.
"Everybody's got very mixed feelings… I think mostly people are very sad, because it's been a great experience and we'll never be able to duplicate this again," the star noted. "I'll also never have as good a job as this - ever."
He added: "We've known from the beginning that it was going to end sooner than later. After Seasons 5 and 6 they would advise us - [people said,] 'We're going to get the word any day now that it's run its course'. Now they told us this year would be it."
Baldwin also predicted that the end of 30 Rock will open up new possibilities for Tina Fey, who recently signed an NBC development deal.
"The most compelling thing I think about is what's going to happen to Tina, because she'll be able to do whatever she wants to do," he explained. "She's such a fertile writer that there are so many things she can do."
Fey recently hinted that Matthew Broderick is to make a return appearance on 30 Rock and expressed hopes that Will Arnett and Michael Sheen would also cameo.
Anita Gillette - who plays Liz Lemon's mother - has also revealed that she may appear in the 30 Rock series finale.
30 Rock premieres its final season tonight (October 4) at 8/7c on NBC.