As Kalinda Sharma, the enigmatic, no-nonsense investigator for Stern, Lockhart & Gardner (and more lately, Florrick-Agos), Archie Panjabi has been one of the stand-out members of The Good Wife’s classy cast, alongside Julianna Margulies, Matt Czuchry, Christine Baranski, Chris Noth and Alan Cumming, winning an Emmy for her performance. It’s not hard to find praise for her performance: in the past, the Guardian has described the role as a “dazzling portrayal”, called Panjabi’s character “a sort of 1940s noir heroine transposed to modern-day Chicago” and argued that “nobody else on TV has smouldered quite like her, or rocked knee-length boots with such panache”. In London to present the Bafta for best supporting actor at Sunday’s TV awards, Panjabi (who last attended the ceremony as part of the winning cast of East is East, in 1999) also stands a chance of taking home a gong for the drama, which has been nominated in the international category. But even The Good Wife’s good things come to an end and, as Panjabi announced in December last year, the current sixth season is to be her last on the show. With her final episode airing this weekend on CBS in the US (it’s showing in the UK on More4 next month, so no spoilers please), we joined her to talk about Kalinda, her decision to leave and, yes, those boots.

The Good Wife has been nominated in the international category of this year’s Bafta TV awards. How do you feel about your competition? We’re up against one of my favourite shows, True Detective, and Netflix’s House of Cards. Both definitely have a lot more freedom creatively, but The Good Wife’s season five was very strong and deserves to be in that category, so you never know …

CBS might be a traditional network, but there’s still a sense of boldness on The Good Wife. It was my first American television project, but I didn’t fully appreciate how lucky we were until I started watching a lot of the network’s shows; undoubtedly, it is one of the best there is. It’s intelligent TV and I think people are ready for that.

How much of Kalinda’s backstory were you told before you started? There were so many unanswered questions I had about the character, so I thought the best way of dealing with that would be to go off and write a four- or five-page backstory. I didn’t understand why she was so sexual – I needed to figure out why she was like that.

Archie Panjabi with Matt Czuchry. Photograph: CBS Photo Archive/Getty Images

Were you comfortable exploring that side of Kalinda’s character? I was so nervous playing her because I was thought: how are women going to respect this character in terms of being so sexual, and so intelligent? That’s a combination you might be seeing more of now on television in the US, but being considered sexual is often not considered smart, so that worried me. She has a very dark past and, once I understood why she was like that, I could make it a bit more truthful as opposed to just playing sexual for the sake of it.

Did you give her the notebook and the boots? It’s like her superhero costume! I do think costume and hair and makeup help you find the character. I wanted her to wear boots but I wasn’t keen on the short skirts at all, but they wanted to sex her up. I got used to it towards the end, but I’m definitely wearing jeans in my next role!

Will you keep any of Kalinda’s clothes? I’ve asked CBS if I can. But the whole thing became this obsession with her sexuality and I didn’t intend for that to happen. It was difficult to deal with because at one point it was all people could talk about: how she’d seduce people, the boots, the leather … But she’s been a fun character to play.

Did you mean for her to be so enigmatic? Part of what viewers seemed to respond to was how little they knew about her at first, as well as how dynamic she is: you want a Kalinda on your team even if you don’t work for a law firm. I want a Kalinda on my team! I didn’t intend for her to be that way, that’s just how it turned out. I would go back and forth with Robert [King, co-creator] digging for questions, trying to understand. What came across was this mysterious character, but I was just trying to play somebody where everything felt believable. I chose a notebook so that nobody could trace my stuff – instead of just turning up and going, “OK, today I’m going to act,” which you can so easily do on a drama. And when you stop feeling like that, that’s when it’s time to go. Though that’s not why I left!

Archie Panjabi with Christine Baranski. Photograph: CBS Photo Archive/Getty Images

How do you feel about saying goodbye to Kalinda and knowing that the final episodes are going to be shown? We had a couple of episodes where we tease my leaving, and everyone has known that I’m leaving for some time. People are sad to see her go. I kind of knew I wanted to go around season four. It’s very hard for creative individuals to be professionally satisfied and I’m happy that I’ve been able to achieve that on the show, but I felt that if I stayed on longer I’d lose that balance. There’s been a massive evolution of the character arc, too, and we just tie a nice bow on it.

What is it like to play such a cult character? Very weird. Everywhere I go she has this effect on people. In New York, people have this embarrassment for coming up to you – like strong, intelligent men, probably really high achievers – and they’d just go: “Ijustwanttosay … Ithinkyourcharacter’sreallygood … and … Ineverdothisandseeyoulater – BYE.” It was priceless to get that. I feel that Kalinda would be ashamed of me if I didn’t reciprocate in some way.

Do you think of The Good Wife as a feminist show? There are three strong female actors in it, who’ve taken those roles and infused them with their own personalities – it’s a combination of strong roles and strong actors. It’s great for women because there are a lack of strong female roles out there.

Do you know what’s next? Before I left, Fox gave me a talent deal where they have you exclusively: send you scripts, talk about ideas and try and find the perfect match for you. Ideally, I would like to do a really good drama. I’m just trying to find something that’s really right.

Will you be making a return to The Fall? Hopefully – if we can work out the schedules with Fox. I know they’re writing season three now. And then I’m doing an episode of Shetland with Douglas Henshall. The scripts are gripping. It’s in the same vein of The Fall, but set up in the Scottish Highlands.

Looking back, what were your best and worst moments on The Good Wife? My best moment was definitely smashing a car with a baseball bat in season two. You actually have a nail on a baseball bat so it smashes the glass. We were in an underground car park, and it wasn’t breaking, so all the men were like: “You should hit it like this!” I know I’m small, but I am quite strong! And it wasn’t my fault – it was something to do with the air pressure in an underground car park – so even when the men tried it, it didn’t smash. It finally did on like the 150th time, so that was fun. The worst is just the 16- to 18-hour days.

A home run, Kalinda-style.

Is it true you haven’t filmed a scene with Margulies for ages? Since about season four. They decided to stop that friendship, and I think that was one of the best things about the show. I still do. But the writers are good at writing unpredictable stuff and Alicia [Margulies’s character] was very keen for that friendship not to continue after she discovered that Kalinda had slept with her husband. I think the audience is kind of pining for that more than anything else – there’s a lack of solid female friendships on TV.

How would you like Kalinda to be remembered? Probably as one of the more unique investigators on television – she’s female, she’s bisexual, she’s a woman of colour and she’s younger than all your old-style throwback detectives.

The Good Wife is on Thursday 14 May on More4, 9pm; The House of Fraser British Academy Television awards is on Sunday 10 May on BBC1, 8pm