The actor explained that he has always had a certain affinity for Roger in spite of his many self-destructive personal decisions.
"I like Roger. He may say and do things that I find abhorrent, but I understand him," Slattery told Boston Common. "We are all trapped, to some extent, by our choices and the consequences of those choices."
He went on to say that Roger's penchant for making bad life choices has served as a road map on how not to live his real life.
"There's a line in this season of Mad Men that goes, 'Happiness is the moment before you need more happiness'. Which is true," Slattery said. "We're not satisfied as human beings, and that's good and bad. 'If I have this, can I have that?' But it's not the having that's worth it. It's the opportunity to create. That's the satisfaction."
Slattery recently admitted that he does not consider himself to be a "star", explaining: "I don't have to worry about how my movies sell because I'm not the guy in front.
"I've never been number one. I've never been the star of the thing."
Mad Men airs on AMC in the US and in the UK on Sky Atlantic.
Watch a behind-the-scenes promo for the fifth season of Mad Men below: