The character was murdered by his former mentor Nucky (Steve Buscemi) in the HBO drama's second season finale.
"The idea was to try to push things to their absolute limit, even if it makes it difficult for yourself and your writing team," Winter told Entertainment Weekly.
"If you take things to their logical extreme with the situation we created, Jimmy has betrayed Nucky, he tried to have him killed. You want to be honest about the storytelling."
However, the former Sopranos scribe admitted that he felt "huge concern" about axing a major character so early in the show's run.
"As we go about the business of TV, you're constantly looking for ways to keep ahead of the audience or defy expectations," he said. "It's a big gamble creatively - you're killing off a major character very early on. But you want to be true to the story and to do the most unexpected thing."
Winter also confirmed that the third season of Boardwalk Empire will pick up 16 months after Jimmy's death.
"We're thinking about... starting the [third] season around the beginning of 1923," he revealed. "It was an exciting year. All the people who stockpiled liquor started to run out, so competition between bootleggers became really fierce."
Boardwalk Empire will return to HBO in 2012.
> Breaking Bad, Modern Family, Boardwalk Empire in WGA nominations
Watch a clip from the Boardwalk Empire season finale below: