When did you find out you were going to die on the show?

It was pretty clear for me that my story was very much tied to the story of my secretary, Martha, played by Alison Wright. When she went down, I had to fall on my sword. You can’t be the director of counterintelligence and have your secretary be married to a K.G.B. agent. So that was pretty much in the cards. Fortunately, they wrote very good things for me toward the end and allowed me to go out with a bang rather than a whimper.

What was it like shooting your final scene?

It was a very weird feeling. When I did “The Waltons,” TV shows didn’t kill off characters. You just did the show until it was canceled. But in the current novelistic style of cable series, everybody has a suspended sentence. Once you know your character is going to be killed and you’re still doing shows leading up to that, you feel like you’re on death row. I came onto the set that day and it was like, “Dead actor walking!” Everybody was very respectful. Members of the crew were coming up and shaking my hand. It’s a different and peculiar feeling. I was sad because I had a blast playing the character, and I really admire the show. Getting killed off was a new experience for me — unsettling but dramatically satisfying.

Why was the character so rewarding for you to play?

When the producers called me about the role, they said, “We don’t want him to be the typical hard-talking F.B.I. guy. Would you be interested?” And I said yes because this was not a part people would automatically think of me doing. The thing about Frank is that under normal circumstances on a series, he would be one of the good guys. But it was interesting to be walking around New York and have people say to me, “You’re such a bad guy on the show!” I thought: “Wait a minute, I’m not slitting people’s throats. I’m just trying to catch the bad guys.” But because of the brilliant concept of the series, everybody’s moral orientation is upended.

Did you take any mementos from the set?

I should’ve taken the bugged pen. That disappeared. I’m going to call and see if there’s any Gaad-abilia lying around. I do have an iPhone cover with my character’s name on it. The producers gave all of us those a few years ago.

You were born in New York City and have been living here for years. What was it like shooting a show back home?