"I'm jealous of everyone that's going. I just want to stress, I'm not a good sport about it, but there's nothing I can do," Coolidge, who played fan-favorite White Lotus character, Tanya McQuoid, said.
While she was one of the only characters to appear in both seasons one and two, and won Emmys for both performances -- spoiler alert -- she met her tragic demise during season two's finale, making her return for season three nearly impossible.
"When they kill you, you have to accept it," she continued. "Because it means they're not calling for your costume sizes or anything. It's over! I have to get another thing. I have to make another thing happen, I guess."
After seasons in Hawaii and Sicily, season three will see an all-new, star-studded cast check into another White Lotus property, this time, in Thailand.
Natasha Rothwell, will reprise her season one role alongside newcomers Carrie Coon, Scott Glenn, Walton Goggins, Leslie Bibb, Michelle Monaghan, Parker Posey, Dom Hetrakul, Jason Isaacs, Tayme Thapthimthong, Sarah Catherine Hook, Sam Nivola, Patrick Schwarzenegger, Aimee Lou Wood, Nicholas Duvernay, Francesca Corney, Arnas Fedaravičius, Christian Friedel, Morgana O'Reilly, Lek Patravadi, Shalini Peiris and Julian Kostov.
While no character details about the guests have been shared, Deadline reported in November that the multi-generational group includes a patriarch, a female corporate executive, an actress, a couple of mothers, including a country club wife, a misfit and a yogi.
"People are asking me if I'm in it. I can honestly say, to this moment, no one has even mentioned it to me," Coolidge admitted. "I think I'm dead. I think I'm dead right now and may be dead forever."
And while she's accepted that Tanya is dead and gone, she's still a little upset she won't be back for round three.
"I just want to say in all honesty, I'm very sad I'm not in it," Coolidge added.
She did, however, say she has high expectations for creator Mike White's third installment, and is looking forward to watching.
"I think it's going to be good. There's going to be all sorts of good stuff in it, probably great sex stuff," Coolidge quipped. "You know how Mike White writes -- it's never, never a dull moment. I think he's going to slay with this one."