The Los Angeles Times said the "30 Rock" star made the comment while interviewing film director Stephen Daldry on his WNYC radio show.
Daldry is the director of "Extremely Loud & Incredibly Close," a movie about a New York family recovering from the Sept. 11, 2001, terror attacks.
The filmmaker told Baldwin he should run for mayor and the actor replied, "I've lost my appetite," the Times said.
"I've got a job now," Baldwin added. "I've got a good job."
The actor made headlines this month when he was booted off an American Airlines flight because he refused to stop playing an online video game and was rude to staff on the plane.
VINCE NEIL: Rocker Vince Neil says he is "thinking seriously" about leaving Motley Crue after the band finishes a string of Las Vegas shows planned for February.
The 30-year-old group is scheduled to perform at the Hard Rock Hotel Feb. 3-19.
"It's not definite, but I am thinking seriously about it," Neil told the Las Vegas Sun.
He said he is "contemplating my future, and I'm not sure it will be with Motley Crue after Las Vegas."
"Great things are coming up and pushing me in another direction," he told the Sun. "This is all about me thinking about the second half of my life, thinking about my future, and that future might not include Motley Crue after Vegas.
"There are so many opportunities that are in front of me that I'm really excited about. I just don't want to look back later in life and regret that I didn't pursue them. I'm just not sure I can give these opportunities the time and effort I'll need to and continue with the band. It's been a great ride, and I've enjoyed every second of it."
KATIE FINNERNAN: Katie Finneran's publicist says the U.S. actress is pregnant with her second son.
Finneran, 39, is a cast member of "I Hate My Teenage Daughter."
UsMagazine.com reported the actress' pregnancy Thursday but didn't say when she is due to give birth.
The child will be the second for Finneran and actor Darren Goldstein, who married in August 2010.
They are also the parents of a 10-month-old son named Ty.
The FX show wrapped up its first season Wednesday and resolved story lines revolving around the Harmons, a family that moves into a haunted Los Angeles mansion and meets a grisly end. Dylan McDermott and Connie Britton played the parents and Taissa Farmiga played their teenage daughter. The cast also included Jessica Lange, Kate Mara, Frances Conroy, Lily Rabe and Zachary Quinto.
Murphy told E! News he is talking to "a handful" of the Season 1 stars about returning for the next installment, but he did not name names.
"Some of them will be coming back. There will be familiar faces and also some new faces," Murphy said. "The people that are coming back will be playing completely different characters, creatures, monsters, etc. [The Harmons'] stories are done. People who are coming back will be playing entirely new characters. ... I would have them all back in a heartbeat. I think we'll announce the full cast and what the new storyline is going to be some time in February."
As for the house?
"What you saw in the finale was the end of the Harmon house," E! News quoted Murphy as saying.
"The second season of the show will be a brand-new home or building to haunt. Just like this year, every season of this show will have a beginning, middle and end. [The second season] won't be in LA. It will obviously be in America, but in a completely different locale."
Celebrity Couples of 2014 [PHOTOS]