The 38-year-old Mad Men actress appeared on Conan on Tuesday night and debunked the myth to the disappointment of fans.
"The funny thing is, I've never seen Game of Thrones," Hendricks admitted. "I hate to disappoint."
"I hear it's wonderful," she continued. "I think I need to start from the beginning, because I tried to come in on season two and I was a little confused."
The actress said the rumor got started after someone asked her what show she thought would be fun to appear on. Hendricks said the show's costumes and period-piece-like setting led her to answer Game of Thrones. The speculation started soon after.
"I'd be thrilled ... and so lucky," the star expressed, but maintained that she has no plans to make an appearance.
Fans can see Hendricks as Joan Holloway on Mad Men beginning at 10 p.m. ET Sunday, April 13 on AMC.