Slattery told GQ that he relishes never having to deal with the pressure of a film's success or failure.
"I don't have to worry about how my movies sell because I'm not the guy in front. I've never been number one. I've never been the star of the thing," he explained.
The actor also suggested that he may be typecast because of the wise-cracking executive he's played on Mad Men for five seasons.
"You see people from Seinfeld and Friends and whatever, Gilligan's Island, and you go, 'There's Gilligan!' I'm sure there are meetings going on - 'What about Slattery?' 'No, can't use him; he plays that guy on Mad Men'," he said.
"On the flip side, I've gotten a lot of opportunities I certainly wouldn't have had."
Slattery recently insisted that he has very little in coming with the sarcastic Roger Sterling.
Mad Men airs on AMC in the US and in the UK on Sky Atlantic.
Watch a trailer for the fifth season of Mad Men below: