"I've got a few of my own gripes," says the actress in a new interview.
In the penultimate episode of the series, the villainous character was crushed underneath the Red Keep in King's Landing with her brother-lover Jaime Lannister, their deaths confirmed in the finale when Tyrion found them after Dany's fiery attack.
Speaking with The Guardian over the weekend, Headey admitted it wasn't exactly what she was hoping for.
"I invested as a viewer and I have my favorite characters. And I've got a few of my own gripes," she said. "But I haven't sat down drunkly with David [Benioff] and Dan [Weiss] yet."
When asked what she'd talk with them about, she added, "I will say I wanted a better death."
"Obviously you dream of your death. You could go in any way on that show. So I was kind of gutted," she added. "But I just think they couldn't have pleased everyone. No matter what they did, I think there was going to be some big comedown from the climb."
Headey also spoke about the final season during an appearance at Comic-Con in Munich over the weekend (via ONTD), revealing some alternate death ideas she had in mind, specifically involving Arya's face-stealing skills.
"I've got many versions, how long do you have? I often thought she could sit with Tyrion and it would be Arya halfway through the conversation," said Headey, "or she would be back with Jaime and he would just slit my throat but really it was Arya. Really romantic."
"I love that she ended up with Jaime," she added after another fan question. "I think that was very fitting that they never really separated. He didn't have to sleep with Brienne, you know what I'm saying? Bastard."
Headey also said she and Nikolaj Coster-Waldau were "in pieces" filming their last scenes together.
At the same event, she also revealed how Cersei's storyline was almost very different in the final season. "We shot a scene that never made it into Season 7, which was when I lose the baby," she told the crowd. "It was a really kind of traumatic great moment for Cersei and it never made it in and I kind of loved doing that, I thought it would have served her differently."
Of Bran ending up on the throne at the end, she also joked, "I mean, Arya would have been great, I'm obsessed with Arya, but she went on holiday, she deserved one."