"I had been sent the script and sat down with Julia, which was literally the first time we'd ever met," Ferrell told interviewer Will Reeve on Good Morning America Monday.
"Still, we can't believe it. We're kind of baffled by it," Louis-Dreyfus added.
"You never met? You're like the titans, the icons of your generation," Reeve noted.
"That's what we said!" Louis-Dreyfus agreed. "We're titans!"
The stars play Pete and Billie, a married couple on vacation in the Austrian Alps when an avalanche strikes and Pete abandons his family.
"Pete's a jerk, but, at the same time, I think there's a certain vulnerability you find in Pete," Ferrell said. "You're almost sympathetic to him in a weird way."
Louis-Dreyfus said she was attracted to the story because it explored "the notion that you might be viewing reality one way through a certain lens and that lens is pulled off and, all of a sudden, you're viewing reality a completely different way."
Ferrell was an SNL cast member from 1995 to 2002. He went on to star in the films Anchorman: The Legend of Ron Burgundy, Elf, Old School, Talladega Nights, Step Brothers, The Other Guys and Daddy's Home.
Louis-Dreyfus was on SNL 1982-85, then won eight Emmy Awards for her work on the sitcoms Seinfeld, The New Adventures of Old Christine and Veep.