The streaming giant announced late last month that it is pulling the plug on the Marvel show after three seasons.
The superhero drama featured Cox as the titular vigilante who operated as lawyer Matt Murdock by day.
In an interview with Entertainment Weekly, the 35-year-old actor said, "A lot of us really expected to keep going, and I certainly did. The truth is, I felt like we had a lot of stories to tell, and although I understand (the cancellation), I'm very saddened by that."
"It's just how business works. But also, these characters mean a lot to people. It's weird to think there's a chance I won't be playing Matt Murdock ever again. That's a bizarre feeling, because that character has been such a huge part of my life for the last four and a half years," he added.
"I loved it. It's been just the most incredible job for me. It's so fun to do. You get to do all the acting obviously, which is great, but then there's also this really fun physical aspect to it with all the stunts and the fight choreograph," Cox added.
The move to cancel "Dardevil" comes close on the heels of Netflix pulling the plug on "Iron Fist" and "Luke Cage" in October.
(With inputs from agencies.)