Batt played the flamboyant Salvatore 'Sal' Romano on the AMC drama, but was written out midway through the third season.
"[Series creator] Matt Weiner called me on the phone to explain that [Sal] was going to be fired, but in the same breath he said, 'You're not dead!'," Batt told Vulture.
"Sal just kinda dangled. He ended up in Central Park calling his wife, and that was it. It's heartwarming that everywhere I go, people come up and say how much they love the character."
The actor added that he "didn't see [his exit]" coming, admitting that his eventual departure was "awkward".
"But I know people on other shows who have found out they weren't coming back when they drove to the lot and had no parking space," he continued.
Batt - who appeared on Ugly Betty and Law & Order: Criminal Intent following his Mad Men exit - confirmed that he still hopes to reprise his role as Sal.
"I'm holding onto Matt's word that Sal's not dead," he said.
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Mad Men airs on AMC in the US and on Sky Atlantic in the UK.
Watch a clip of Bryan Batt on Mad Men below: