The TV star, who plays Amy Pond in the BBC sci-fi series, revealed to fans at San Diego's Comic-Con that she struggled to "hold it together" when they shot the last episode.
"I cried for two weeks. Everything set me off," said Gillan. "I couldn't hold it together at all.
"[The show] has changed my life in so many ways. And even thought I don't want to say it, I've made two really good friends."
Gillan and co-star Arthur Darvill will leave Who midway through the upcoming seventh series.
Commenting on the duo's departure, lead star Matt Smith said: "I miss them. I miss these cats. It's been three years on set. You develop a language with these people.
"It's like two older brothers who bully their sister and I miss being able to bully Karen."
Smith also commented on the future of Steven Moffat as Doctor Who's showrunner, joking: "He's going to do the next 150 years.
"He is the most wonderful man to work for. He loves Doctor Who. He doesn't want to give up any time soon."
When asked by a fan whether there was a chance of Rose Tyler ever returning to the show, he commented: "They tell us things very late. We tend not to know. But at the moment, we're focused on the fall of the Ponds.
"They are our guys. They're gone. See you later. But I don't know [about Rose]. That would be a Moffat question."
Smith, Darvill and Gillan were all coy on the role of Alex Kingston in the latest series, only admitting that she was "very important" to all the characters.
"We love Alex Kingston. She's the nicest and most flirtatious woman on the planet," joked Smith. "She could flirt with a fish."
The new series of Doctor Who will air in the US and UK in mid-August. Its first screening will be at the London BFI on August 14.
