It comes as Ferrell has been applauded by fans for his new Netflix documentary with Steele, called Will & Harper.
The 57-year-old made the claim during an appearance on The New York Times podcast alongside former SNL head writer Harper Steele.
Ferrell added that there was a “fair amount” of SNL segments “where you’d lament the choice” to star in them.
Will Ferrell has revealed that he would no longer attempt to do his infamous Saturday Night Live drag impersonation of Former United States Attorney General Janet Reno as it “hits a false note now”.