"I'm not doing any more," Finneran told the British edition of The Huffington Post. "O'Brien is a thoroughly despicable human being -- that was great to play."
The website quoted a show spokeswoman as confirming O'Brien would not appear in the fourth series, but could return some time in the future.
Details regarding the character's fate were not disclosed.
The actress will soon be seen in Season 2 of the British series "The Syndicate."