The pair previously had an affair, which ended when Roger (John Slattery) had a heart attack. Joan later married Greg (Samuel Page).
However, Hendricks has now told the New York Post that Joan and Roger still have feelings for each other.
"I think there is an undeniable caring about the two of them," she said. "And in a way that maybe you don't see with other characters. When he had his heart attack and she's left helpless, you can feel that yearning. He wants comfort from her and she wants to offer that, but can't because the whole office is watching.
"I think the audience feels that and wants that, so [creator] Matt [Weiner]'s like, 'Well if the audience wants it, of course I won't do it'... He just cares that what is going to naturally happen, naturally happens."
Hendricks also admitted that she is surprised that people want Joan and Don (Jon Hamm) to begin a relationship.
"What I think is fascinating are the people who want Don and Joan together, based on that one scene when they sit together," she said. "It's so random, but for some reason people want that."
Mad Men continues on Sundays at 10/9c on AMC.