Dempsie played villain John in the BBC Three paranormal drama, which was axed in April after a single series.
"By the time we found out that it wasn't going to be recommissioned, we'd kind of guessed as much anyway, because you don't usually wait so long to hear," the actor told Digital Spy.
"I thought a programme like that really was a chance for a channel like BBC Three to move away from 'My Boob Job and Me' [-type shows] and a lot of the stuff that you usually identify with them.
"I don't know if maybe that was part of the problem - if people don't know that good drama lurks on BBC Three, they're not going to find out about it."
The Game of Thrones actor confirmed that a second series would have explored the past of his character John.
"I'm not sure of any definite plans, but I think there was an idea that the show might have visited John at a time before he was a Fade," he said. "You might have had a chance to get to know the John that was.
"I think it would've been really interesting and it would've been great for me as an actor to have a go at playing around with that, but I don't know anything more specific than that. I guess we never will."
Dempsie added that he was sad when The Fades was axed, calling BBC Three's decision "a shame".
"It was such a strong ensemble performance and I think [creator] Jack Thorne is someone who, if you've got the chance to delve into his brain at any point, then you should just grab it with both hands.
"I think series two would've been really interesting, so... it's a shame that BBC Three decided not to pick it up, but they've got their own budgets to handle and decisions to make - I don't really know what happened behind-the-scenes."
