Pryce met a tragic end on the latest Mad Men episode 'Commissions and Fees' when he committed suicide after his embezzling was discovered by Don Draper.
In an interview with The Hollywood Reporter, Harris admitted that he was deeply saddened when first told of his character's fate.
"I've grown very fond of Lane, and I love working there," the actor confessed. "It's the best show on television, and my ride was over. I shed a little tear in the car on the way home."
Harris went on to joke that he tried unsuccessfully to convince Mad Men creator Matt Weiner to find him a new role on the series.
"There was no way to talk him out of it. The season had been structured for this. They had been building this since the beginning," he explained. "I [just] tried to persuade him that Lane had a brother, Blaine Pryce."
Harris had been a Mad Men regular from season three.
Mad Men wraps up its fifth season on Sunday on AMC. The series airs Tuesday nights at 9pm on Sky Atlantic.
Watch an inside look at Jared Harris's final Mad Men episode below: