Bernthal's character Shane was killed by Rick (Andrew Lincoln) in the penultimate episode of the AMC drama's second season.
The actor told Entertainment Weekly that filming his final scene with co-star Lincoln had been "very emotional".
"We shot that scene all night long," he explained. "I can't imagine a better actor, a better partner, to do this with, and it's been the honour of my acting career to act alongside Andrew Lincoln.
"He's my brother, he's my best friend that I've made in the acting world, and to go out the way I did and go out with who I did - it was, and still is, very emotional."
Bernthal also dismissed rumours that he had asked to be written out of the series, following the firing of original showrunner Frank Darabont.
"This was always the plan that this was going to do down this way," he insisted. "[However] one of the things I was really, really looking forward to is Frank always said he was going to write and direct our last scene - the last scene Andy and I would play together.
"And I'll be honest, it brought all those feelings back up, because at the end of the day, this thing started with Andy, Frank and I."
Bernthal - who will reteam with Darabont on TNT pilot L.A. Noir - also admitted that it felt "crazy" to film a brief scene as a zombie Shane.
He revealed: "I tried to convince [executive producer] Greg Nicotero to let me be the only zombie with a speaking line, like, 'Riiiiiick'. But he didn't go for it."
The Walking Dead's second season concludes next Sunday (March 18) at 9/8c on AMC. In the UK, the show airs on Fridays at 10pm on FX.
> The Walking Dead's Robert Kirkman: 'Plot twist planned from start'
Watch a clip from the Walking Dead season finale below: