Coster-Waldau is nominated for Best Supporting Actor in a Drama. He is joined by his castmates Peter Dinklage, who portrayed Tyrion Lannister, and Alfie Allen, who portrayed Theon Greyjoy in the category.
"We should just rename this category the Peter Dinklage category," the actor joked to Kimmel on Thursday about how Dinklage has won the award multiple times including in 2018.
"I'm not gonna win it," he continued when Kimmel asked why he doesn't have an acceptance speech prepared. "Maybe it's bad luck right?"
The Primetime Emmy Awards will be taking place Sunday at the Microsoft Theater in Los Angeles. Game of Thrones has a leading 32 nominations, making the fantasy drama the most nominated show in television history for a single season.
Coster-Waldau also discussed how the Game of Thrones cast keep in touch through WhatsApp. He said that Gwendoline Christie is a huge fan of emojis, followed by Lena Heady and that Allen likes to upload songs he has performed.
Coster-Waldau mentioned his fondness for comic book conventions and how he wants to make a documentary about the fan events.
"There's something really fascinating about it," he said about conventions. "Over the last 10 years it's become a global phenomenon, it's massive."
"There's a purity in fandom right but then that of course attracts a lot of people who want to monetize it because you got to make some money. So you have this whole thing of people just having so much fun and then behind the scenes, it's a little sketchy," he continued about what interests him about the subject.