Story highlights "It was very emotional," Denis Leary says of shooting the series finale of "Rescue Me"

The cast, crew and scores of FDNY bid farewell to the series at the finale party

The guests of honor were more than 30 firefighters who responded on 9/11

Nothing like a room full of tough guys to help keep your emotions in check.

"It was very emotional," Denis Leary tells PEOPLE of shooting the series finale of "Rescue Me" at a screening of the episode Wednesday night in Manhattan. "But I couldn't really cry there. There were firefighters there ... it wasn't one of those things where you could cry if you were a guy."

It was a different story for Leary's costar Callie Thorne. "It was really traumatic for me to think about not seeing these people every day," she says of wrapping the post-9/11 firefighter drama . "I loved this family so much. I don't even want to admit that it's over!"

But before it was over for good, the cast, crew, and scores of FDNY bid farewell to the series at the finale party. The guests of honor? More than 30 firefighters who responded on 9/11.

"Thank you for telling our story, never leaving us behind, and believing in us," one firefighter said at the screening.

Members of the FDNY were also on the set of the show each day to advise on the more technical side of playing a hero.

"Truthfully, these are the guys who made us fake, p---- actors look like we knew what we were doing," joked Leary.

As for the finale itself, the star of the show sat amongst the packed, emotional audience to take in the last episode. "I'm never satisfied ... There are things I'd always want to re-do," says Leary.

"But the performers in this cast are always so amazing that it forgives a lot of bad writing on my part," he demurs. "The thing I'll miss most about the show is working with those guys."